Algorithmic Trading Model for Simple Moving Average Crossover Grid Search¶
Task 1. Prepare Environment¶
In [1]:
!pip install python-dotenv PyMySQL
Requirement already satisfied: python-dotenv in /usr/local/lib/python3.6/dist-packages (0.13.0) Requirement already satisfied: PyMySQL in /usr/local/lib/python3.6/dist-packages (0.9.3)
In [2]:
# Retrieve CPU information from the system
ncpu = !nproc
print("The number of available CPUs is:", ncpu[0])
The number of available CPUs is: 2
In [3]:
import os
import sys
import smtplib
import numpy as np
import pandas as pd
import requests
import json
from email.message import EmailMessage
import matplotlib.pyplot as plt
from datetime import datetime, timedelta
from dotenv import load_dotenv
In [4]:
# Begin the timer for the script processing
startTimeScript = datetime.now()
# Set up the verbose flag to print detailed messages for debugging (setting True will activate!)
verbose = True
# Set up the sendNotification flag to send progress emails (setting True will send emails!)
notifyStatus = False
# Set up the parent directory location for loading the dotenv files
useColab = True
if useColab:
# Mount Google Drive locally for storing files
from google.colab import drive
drive.mount('/content/gdrive')
gdrivePrefix = '/content/gdrive/My Drive/Colab_Downloads/'
env_path = '/content/gdrive/My Drive/Colab Notebooks/'
dotenv_path = env_path + "python_script.env"
load_dotenv(dotenv_path=dotenv_path)
# Set up the dotenv file for retrieving environment variables
useLocalPC = False
if useLocalPC:
env_path = "/Users/david/PycharmProjects/"
dotenv_path = env_path + "python_script.env"
load_dotenv(dotenv_path=dotenv_path)
# Configure the plotting style
plt.style.use('seaborn')
# Set Pandas options
pd.set_option("display.max_rows", None)
pd.set_option("display.max_columns", None)
# pd.set_option("display.width", 140)
Drive already mounted at /content/gdrive; to attempt to forcibly remount, call drive.mount("/content/gdrive", force_remount=True).
In [5]:
stock_symbol = 'GOOGL'
initial_capital = 0
# Specify the parameters for the trading strategy
fast_ma_min = 5
fast_ma_max = 20
slow_ma_min = 10
slow_ma_max = 50
ma_increment = 5
min_ma_gap = 5
model_start_date = datetime(2019, 1, 1)
print("Starting date for the model:", model_start_date)
stock_start_date = model_start_date - timedelta(days=int(slow_ma_max*1.5)) # Need more pricing data to calculate moving averages
model_end_date = datetime.now()
# model_end_date = datetime(2020, 6, 30)
print("Ending date for the model:", model_end_date)
Starting date for the model: 2019-01-01 00:00:00 Ending date for the model: 2020-06-30 21:25:26.593678
Task 2. Acquire and Pre-Process Data¶
In [6]:
# Check and see whether the API key is available
quandl_key = os.environ.get('QUANDL_API')
if quandl_key is None: sys.exit("API key for Quandl not available. Script Processing Aborted!!!")
In [7]:
start_date_string = stock_start_date.strftime('%Y-%m-%d')
end_date_string = model_end_date.strftime('%Y-%m-%d')
quandl_url = "https://www.quandl.com/api/v3/datatables/SHARADAR/SEP.json?date.gte=%s&date.lte=%s&ticker=%s&api_key=%s" % (start_date_string, end_date_string, stock_symbol, quandl_key)
In [8]:
response = requests.get(quandl_url)
quandl_dict = json.loads(response.text)
stock_quandl = pd.DataFrame(quandl_dict['datatable']['data'])
print(len(stock_quandl), 'data points retrieved from the API call.')
427 data points retrieved from the API call.
In [9]:
stock_quandl.columns = ['ticker', 'date', 'open', 'high', 'low', 'close', 'volume', 'dividend', 'closeunadj', 'lastupdated']
# stock_quandl.set_index('date', inplace=True)
stock_quandl.index = pd.to_datetime(stock_quandl.date)
stock_quandl = stock_quandl.sort_index(ascending = True)
stock_quandl.info(verbose=True)
<class 'pandas.core.frame.DataFrame'> DatetimeIndex: 427 entries, 2018-10-18 to 2020-06-30 Data columns (total 10 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 ticker 427 non-null object 1 date 427 non-null object 2 open 427 non-null float64 3 high 427 non-null float64 4 low 427 non-null float64 5 close 427 non-null float64 6 volume 427 non-null float64 7 dividend 427 non-null float64 8 closeunadj 427 non-null float64 9 lastupdated 427 non-null object dtypes: float64(7), object(3) memory usage: 36.7+ KB
In [10]:
stock_quandl.head()
Out[10]:
| ticker | date | open | high | low | close | volume | dividend | closeunadj | lastupdated | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2018-10-18 | GOOGL | 2018-10-18 | 1130.00 | 1132.35 | 1086.34 | 1097.91 | 2307596.0 | 0.0 | 1097.91 | 2020-05-01 |
| 2018-10-19 | GOOGL | 2018-10-19 | 1103.71 | 1120.95 | 1097.03 | 1105.18 | 2064289.0 | 0.0 | 1105.18 | 2020-05-01 |
| 2018-10-22 | GOOGL | 2018-10-22 | 1112.51 | 1121.69 | 1100.00 | 1111.37 | 1355842.0 | 0.0 | 1111.37 | 2020-05-01 |
| 2018-10-23 | GOOGL | 2018-10-23 | 1091.29 | 1118.00 | 1079.01 | 1114.91 | 1884255.0 | 0.0 | 1114.91 | 2020-05-01 |
| 2018-10-24 | GOOGL | 2018-10-24 | 1115.00 | 1116.62 | 1055.06 | 1057.12 | 2464295.0 | 0.0 | 1057.12 | 2020-05-01 |
In [11]:
stock_quandl.tail()
Out[11]:
| ticker | date | open | high | low | close | volume | dividend | closeunadj | lastupdated | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2020-06-24 | GOOGL | 2020-06-24 | 1463.28 | 1475.79 | 1430.00 | 1432.70 | 1574103.0 | 0.0 | 1432.70 | 2020-06-24 |
| 2020-06-25 | GOOGL | 2020-06-25 | 1431.22 | 1442.32 | 1419.54 | 1441.10 | 1194083.0 | 0.0 | 1441.10 | 2020-06-25 |
| 2020-06-26 | GOOGL | 2020-06-26 | 1432.63 | 1437.02 | 1355.00 | 1362.54 | 4882014.0 | 0.0 | 1362.54 | 2020-06-26 |
| 2020-06-29 | GOOGL | 2020-06-29 | 1360.34 | 1398.00 | 1351.65 | 1397.17 | 2246904.0 | 0.0 | 1397.17 | 2020-06-30 |
| 2020-06-30 | GOOGL | 2020-06-30 | 1396.88 | 1424.00 | 1386.93 | 1418.05 | 1971249.0 | 0.0 | 1418.05 | 2020-06-30 |
In [12]:
title_string = 'Quandl Historical Stock Information for ' + stock_symbol
stock_quandl['close'].plot(figsize=(16,9), title=title_string)
plt.show()
Task 3. Develop Strategy and Train Model¶
3.a) Set up the Dataframe for the Trading Model¶
In [13]:
# Set up the standard column name for modeling
model_template = stock_quandl.loc[:, ['open','close']]
model_template.rename(columns={'open': 'open_price', 'close': 'close_price'}, inplace=True)
if verbose: model_template.info(verbose=True)
<class 'pandas.core.frame.DataFrame'> DatetimeIndex: 427 entries, 2018-10-18 to 2020-06-30 Data columns (total 2 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 open_price 427 non-null float64 1 close_price 427 non-null float64 dtypes: float64(2) memory usage: 10.0 KB
3.b) Set up the Analysis Table with Indicators¶
In [14]:
def trading_ma_crossover(model):
waitfor_first_entry = True
for x in range(len(model)):
if model['ma_change'].iloc[x] > 0:
model['trade_signal'].iloc[x] = 1 # trade_signal = 1 means we should take a long position
else:
model['trade_signal'].iloc[x] = 0 # trade_signal = 0 means we should take a flat position
if x != 0:
model['signal_change'].iloc[x] = model['trade_signal'].iloc[x] - model['trade_signal'].iloc[x-1]
if waitfor_first_entry and (model['signal_change'].iloc[x-1] == 1):
model['entry_exit'].iloc[x] = model['signal_change'].iloc[x-1]
waitfor_first_entry = False
elif (not waitfor_first_entry) and (model['signal_change'].iloc[x-1] != 0):
model['entry_exit'].iloc[x] = model['signal_change'].iloc[x-1]
In [15]:
model_collection = {}
serial_number = 1
for slow_ma in range(slow_ma_min, slow_ma_max+1, ma_increment):
for fast_ma in range(fast_ma_min, fast_ma_max+1, ma_increment):
if (slow_ma - fast_ma) < min_ma_gap: break
print('Processing model with slow_ma of', slow_ma, 'and fast_ma of', fast_ma)
model_name = 'SMA_' + str(serial_number).zfill(3) + '_SlowMA_' + str(slow_ma).zfill(2) + '_FastMA_' + str(fast_ma).zfill(2)
serial_number = serial_number + 1
trading_model = model_template.copy()
trading_model['fast_ma'] = trading_model['close_price'].rolling(fast_ma).mean()
trading_model['slow_ma'] = trading_model['close_price'].rolling(slow_ma).mean()
trading_model['ma_change'] = trading_model['fast_ma'] - trading_model['slow_ma']
trading_model['trade_signal'] = np.zeros(len(trading_model))
trading_model['signal_change'] = np.zeros(len(trading_model))
trading_model['entry_exit'] = np.zeros(len(trading_model))
trading_model = trading_model[model_start_date:model_end_date]
trading_ma_crossover(trading_model)
model_collection[model_name] = trading_model.copy()
print('Model', model_name, 'added to the trading model collection.')
Processing model with slow_ma of 10 and fast_ma of 5 Model SMA_001_SlowMA_10_FastMA_05 added to the trading model collection. Processing model with slow_ma of 15 and fast_ma of 5 Model SMA_002_SlowMA_15_FastMA_05 added to the trading model collection. Processing model with slow_ma of 15 and fast_ma of 10 Model SMA_003_SlowMA_15_FastMA_10 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 5 Model SMA_004_SlowMA_20_FastMA_05 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 10 Model SMA_005_SlowMA_20_FastMA_10 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 15 Model SMA_006_SlowMA_20_FastMA_15 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 5 Model SMA_007_SlowMA_25_FastMA_05 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 10 Model SMA_008_SlowMA_25_FastMA_10 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 15 Model SMA_009_SlowMA_25_FastMA_15 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 20 Model SMA_010_SlowMA_25_FastMA_20 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 5 Model SMA_011_SlowMA_30_FastMA_05 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 10 Model SMA_012_SlowMA_30_FastMA_10 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 15 Model SMA_013_SlowMA_30_FastMA_15 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 20 Model SMA_014_SlowMA_30_FastMA_20 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 5 Model SMA_015_SlowMA_35_FastMA_05 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 10 Model SMA_016_SlowMA_35_FastMA_10 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 15 Model SMA_017_SlowMA_35_FastMA_15 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 20 Model SMA_018_SlowMA_35_FastMA_20 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 5 Model SMA_019_SlowMA_40_FastMA_05 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 10 Model SMA_020_SlowMA_40_FastMA_10 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 15 Model SMA_021_SlowMA_40_FastMA_15 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 20 Model SMA_022_SlowMA_40_FastMA_20 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 5 Model SMA_023_SlowMA_45_FastMA_05 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 10 Model SMA_024_SlowMA_45_FastMA_10 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 15 Model SMA_025_SlowMA_45_FastMA_15 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 20 Model SMA_026_SlowMA_45_FastMA_20 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 5 Model SMA_027_SlowMA_50_FastMA_05 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 10 Model SMA_028_SlowMA_50_FastMA_10 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 15 Model SMA_029_SlowMA_50_FastMA_15 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 20 Model SMA_030_SlowMA_50_FastMA_20 added to the trading model collection.
In [16]:
# List the entry/exit points for each model
for key in model_collection:
print('List the signal change and entry/exit points for', key)
if verbose: print(model_collection[key][(model_collection[key].signal_change != 0) | (model_collection[key].entry_exit != 0)])
else: print(model_collection[key][model_collection[key].entry_exit != 0])
print()
List the signal change and entry/exit points for SMA_001_SlowMA_10_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-17 1087.99 1099.12 1078.224 1079.096 -0.872
2019-01-18 1108.59 1107.30 1086.790 1082.019 4.771
2019-01-22 1096.00 1078.63 1092.214 1082.290 9.924
2019-01-28 1090.07 1079.86 1085.682 1086.236 -0.554
2019-01-29 1081.04 1070.06 1083.968 1088.091 -4.123
2019-01-31 1112.24 1125.89 1095.062 1092.877 2.185
2019-02-01 1122.29 1118.62 1098.484 1094.827 3.657
2019-02-12 1111.01 1127.58 1112.176 1119.667 -7.491
2019-02-13 1133.04 1128.63 1113.324 1122.731 -9.407
2019-02-19 1116.64 1126.51 1126.310 1121.672 4.638
2019-02-20 1128.88 1120.59 1124.912 1118.544 6.368
2019-02-22 1109.70 1116.56 1117.500 1117.741 -0.241
2019-02-25 1121.93 1117.33 1117.040 1119.236 -2.196
2019-02-28 1119.00 1126.55 1121.068 1120.548 0.520
2019-03-01 1131.00 1148.52 1127.460 1122.480 4.980
2019-03-28 1175.50 1172.27 1189.030 1198.902 -9.872
2019-03-29 1180.18 1176.89 1182.878 1197.561 -14.683
2019-04-04 1211.29 1219.45 1202.334 1195.682 6.652
2019-04-05 1219.30 1211.45 1209.246 1196.062 13.184
2019-05-01 1197.50 1173.32 1242.648 1247.925 -5.277
2019-05-02 1172.60 1166.51 1222.482 1240.562 -18.080
2019-05-21 1154.48 1154.44 1164.636 1159.102 5.534
2019-05-22 1151.25 1155.85 1161.646 1157.609 4.037
2019-05-23 1146.07 1145.34 1153.814 1155.346 -1.532
2019-05-24 1152.00 1138.61 1147.780 1152.443 -4.663
2019-06-13 1084.71 1091.01 1080.456 1069.441 11.015
2019-06-14 1089.74 1086.30 1084.042 1067.421 16.621
2019-06-27 1086.75 1076.63 1097.320 1098.974 -1.654
2019-06-28 1077.23 1082.80 1088.806 1098.624 -9.818
2019-07-05 1119.37 1132.66 1110.210 1103.765 6.445
2019-07-08 1125.87 1116.79 1117.008 1102.907 14.101
2019-07-23 1143.45 1148.05 1142.558 1144.709 -2.151
2019-07-24 1132.62 1139.73 1141.156 1144.591 -3.435
2019-07-26 1228.00 1245.22 1161.630 1153.765 7.865
2019-07-29 1242.50 1241.84 1182.156 1162.898 19.258
2019-08-06 1165.52 1171.08 1190.426 1194.286 -3.860
2019-08-07 1157.80 1175.91 1181.968 1197.904 -15.936
2019-08-14 1176.07 1164.25 1186.114 1184.041 2.073
2019-08-15 1168.43 1169.32 1178.740 1179.795 -1.055
2019-08-16 1180.79 1179.21 1176.802 1178.084 -1.282
2019-08-22 1193.80 1191.52 1189.256 1183.998 5.258
2019-08-23 1185.17 1153.58 1184.130 1180.466 3.664
2019-08-26 1159.45 1171.18 1178.278 1180.134 -1.856
2019-08-27 1183.00 1170.82 1175.736 1177.543 -1.807
2019-09-03 1181.85 1169.55 1179.778 1179.028 0.750
2019-09-04 1179.45 1182.27 1182.068 1178.902 3.166
2019-09-24 1240.00 1218.33 1230.852 1231.077 -0.225
2019-09-25 1216.01 1245.94 1233.510 1233.671 -0.161
2019-09-27 1242.83 1225.95 1233.440 1232.995 0.445
2019-09-30 1220.60 1221.14 1230.730 1231.946 -1.216
2019-10-01 1222.49 1206.00 1228.264 1229.558 -1.294
2019-10-10 1198.60 1209.47 1204.242 1204.165 0.077
2019-10-11 1224.03 1215.71 1205.192 1203.141 2.051
2019-11-22 1303.00 1293.67 1305.620 1306.246 -0.626
2019-11-25 1296.26 1305.64 1302.780 1306.982 -4.202
2019-12-04 1306.10 1318.94 1303.752 1303.307 0.445
2019-12-05 1327.00 1326.96 1306.718 1305.817 0.901
2019-12-24 1350.21 1344.43 1350.926 1350.983 -0.057
2019-12-26 1346.55 1362.47 1353.038 1352.805 0.233
2019-12-27 1364.00 1354.64 1352.678 1353.420 -0.742
2019-12-30 1356.81 1339.71 1350.376 1352.704 -2.328
2020-01-02 1348.41 1368.68 1352.978 1351.952 1.026
2020-01-03 1348.00 1361.52 1352.788 1352.913 -0.125
2020-01-06 1351.63 1397.81 1361.422 1357.050 4.372
2020-01-07 1400.46 1395.11 1372.502 1361.439 11.063
2020-01-29 1458.46 1456.70 1457.958 1462.509 -4.551
2020-01-30 1438.10 1454.25 1451.870 1464.014 -12.144
2020-02-06 1451.98 1475.97 1456.562 1454.216 2.346
2020-02-07 1467.38 1479.11 1465.828 1455.510 10.318
2020-02-24 1423.05 1419.86 1492.924 1503.409 -10.485
2020-02-25 1431.00 1386.32 1466.300 1491.175 -24.875
2020-03-27 1127.47 1110.26 1111.788 1102.107 9.681
2020-03-30 1132.64 1146.31 1130.224 1109.438 20.786
2020-04-07 1217.01 1182.56 1135.516 1136.064 -0.548
2020-04-08 1203.10 1207.00 1156.496 1146.602 9.894
2020-04-09 1218.18 1206.57 1174.404 1150.967 23.437
2020-04-27 1292.00 1270.86 1257.840 1260.931 -3.091
2020-04-28 1283.20 1232.59 1261.926 1257.667 4.259
2020-04-29 1345.00 1342.18 1278.680 1266.155 12.525
2020-05-18 1361.58 1385.18 1367.722 1369.027 -1.305
2020-05-19 1385.48 1374.40 1367.566 1371.565 -3.999
2020-05-20 1389.16 1409.16 1379.732 1377.938 1.794
2020-05-21 1410.99 1406.75 1389.710 1381.685 8.025
2020-06-15 1389.49 1420.74 1430.468 1433.626 -3.158
2020-06-16 1449.00 1446.47 1429.346 1434.042 -4.696
2020-06-22 1425.01 1450.66 1441.686 1436.077 5.609
2020-06-23 1452.00 1463.98 1445.188 1437.267 7.921
2020-06-26 1432.63 1362.54 1430.196 1432.949 -2.753
2020-06-29 1360.34 1397.17 1419.498 1430.592 -11.094
trade_signal signal_change entry_exit
date
2019-01-17 0.0 -1.0 0.0
2019-01-18 1.0 1.0 0.0
2019-01-22 1.0 0.0 1.0
2019-01-28 0.0 -1.0 0.0
2019-01-29 0.0 0.0 -1.0
2019-01-31 1.0 1.0 0.0
2019-02-01 1.0 0.0 1.0
2019-02-12 0.0 -1.0 0.0
2019-02-13 0.0 0.0 -1.0
2019-02-19 1.0 1.0 0.0
2019-02-20 1.0 0.0 1.0
2019-02-22 0.0 -1.0 0.0
2019-02-25 0.0 0.0 -1.0
2019-02-28 1.0 1.0 0.0
2019-03-01 1.0 0.0 1.0
2019-03-28 0.0 -1.0 0.0
2019-03-29 0.0 0.0 -1.0
2019-04-04 1.0 1.0 0.0
2019-04-05 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-05-21 1.0 1.0 0.0
2019-05-22 1.0 0.0 1.0
2019-05-23 0.0 -1.0 0.0
2019-05-24 0.0 0.0 -1.0
2019-06-13 1.0 1.0 0.0
2019-06-14 1.0 0.0 1.0
2019-06-27 0.0 -1.0 0.0
2019-06-28 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-07-23 0.0 -1.0 0.0
2019-07-24 0.0 0.0 -1.0
2019-07-26 1.0 1.0 0.0
2019-07-29 1.0 0.0 1.0
2019-08-06 0.0 -1.0 0.0
2019-08-07 0.0 0.0 -1.0
2019-08-14 1.0 1.0 0.0
2019-08-15 0.0 -1.0 1.0
2019-08-16 0.0 0.0 -1.0
2019-08-22 1.0 1.0 0.0
2019-08-23 1.0 0.0 1.0
2019-08-26 0.0 -1.0 0.0
2019-08-27 0.0 0.0 -1.0
2019-09-03 1.0 1.0 0.0
2019-09-04 1.0 0.0 1.0
2019-09-24 0.0 -1.0 0.0
2019-09-25 0.0 0.0 -1.0
2019-09-27 1.0 1.0 0.0
2019-09-30 0.0 -1.0 1.0
2019-10-01 0.0 0.0 -1.0
2019-10-10 1.0 1.0 0.0
2019-10-11 1.0 0.0 1.0
2019-11-22 0.0 -1.0 0.0
2019-11-25 0.0 0.0 -1.0
2019-12-04 1.0 1.0 0.0
2019-12-05 1.0 0.0 1.0
2019-12-24 0.0 -1.0 0.0
2019-12-26 1.0 1.0 -1.0
2019-12-27 0.0 -1.0 1.0
2019-12-30 0.0 0.0 -1.0
2020-01-02 1.0 1.0 0.0
2020-01-03 0.0 -1.0 1.0
2020-01-06 1.0 1.0 -1.0
2020-01-07 1.0 0.0 1.0
2020-01-29 0.0 -1.0 0.0
2020-01-30 0.0 0.0 -1.0
2020-02-06 1.0 1.0 0.0
2020-02-07 1.0 0.0 1.0
2020-02-24 0.0 -1.0 0.0
2020-02-25 0.0 0.0 -1.0
2020-03-27 1.0 1.0 0.0
2020-03-30 1.0 0.0 1.0
2020-04-07 0.0 -1.0 0.0
2020-04-08 1.0 1.0 -1.0
2020-04-09 1.0 0.0 1.0
2020-04-27 0.0 -1.0 0.0
2020-04-28 1.0 1.0 -1.0
2020-04-29 1.0 0.0 1.0
2020-05-18 0.0 -1.0 0.0
2020-05-19 0.0 0.0 -1.0
2020-05-20 1.0 1.0 0.0
2020-05-21 1.0 0.0 1.0
2020-06-15 0.0 -1.0 0.0
2020-06-16 0.0 0.0 -1.0
2020-06-22 1.0 1.0 0.0
2020-06-23 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_002_SlowMA_15_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-02-21 1118.78 1104.21 1120.028 1121.830000 -1.802000
2019-02-28 1119.00 1126.55 1121.068 1118.140000 2.928000
2019-03-01 1131.00 1148.52 1127.460 1120.980667 6.479333
2019-03-28 1175.50 1172.27 1189.030 1193.806000 -4.776000
2019-03-29 1180.18 1176.89 1182.878 1195.600667 -12.722667
2019-04-04 1211.29 1219.45 1202.334 1200.046000 2.288000
2019-04-05 1219.30 1211.45 1209.246 1201.456000 7.790000
2019-05-02 1172.60 1166.51 1222.482 1235.768000 -13.286000
2019-05-03 1177.41 1189.55 1204.908 1234.432000 -29.524000
2019-06-17 1089.10 1093.89 1086.268 1083.700667 2.567333
2019-06-18 1111.50 1105.24 1091.108 1081.412667 9.695333
2019-06-28 1077.23 1082.80 1088.806 1093.763333 -4.957333
2019-07-01 1101.04 1100.00 1085.466 1094.912667 -9.446667
2019-07-05 1119.37 1132.66 1110.210 1102.719333 7.490667
2019-07-08 1125.87 1116.79 1117.008 1104.752000 12.256000
2019-07-25 1138.95 1135.94 1138.896 1139.766667 -0.870667
2019-07-26 1228.00 1245.22 1161.630 1147.270667 14.359333
2019-07-29 1242.50 1241.84 1182.156 1155.607333 26.548667
2019-08-08 1186.43 1206.19 1180.850 1182.918000 -2.068000
2019-08-09 1199.99 1188.90 1179.366 1186.741333 -7.375333
2019-08-21 1195.82 1191.58 1184.816 1184.299333 0.516667
2019-08-22 1193.80 1191.52 1189.256 1182.948667 6.307333
2019-08-26 1159.45 1171.18 1178.278 1181.194667 -2.916667
2019-08-27 1183.00 1170.82 1175.736 1181.177333 -5.441333
2019-09-04 1179.45 1182.27 1182.068 1179.051333 3.016667
2019-09-05 1193.66 1212.19 1189.756 1182.247333 7.508667
2019-10-01 1222.49 1206.00 1228.264 1230.139333 -1.875333
2019-10-02 1196.50 1177.92 1214.660 1227.334000 -12.674000
2019-10-15 1221.50 1242.24 1217.518 1213.706667 3.811333
2019-10-16 1241.81 1243.00 1225.638 1213.510667 12.127333
2019-11-25 1296.26 1305.64 1302.780 1304.432667 -1.652667
2019-11-26 1309.91 1313.00 1302.862 1305.870000 -3.008000
2019-12-06 1332.75 1339.39 1313.778 1311.026000 2.752000
2019-12-09 1338.86 1342.99 1324.604 1311.656000 12.948000
2019-12-31 1335.79 1339.39 1348.128 1349.928667 -1.800667
2020-01-02 1348.41 1368.68 1352.978 1351.648000 1.330000
2020-01-03 1348.00 1361.52 1352.788 1352.799333 -0.011333
2020-01-06 1351.63 1397.81 1361.422 1356.087333 5.334667
2020-01-07 1400.46 1395.11 1372.502 1359.303333 13.198667
2020-01-30 1438.10 1454.25 1451.870 1453.247333 -1.377333
2020-01-31 1467.86 1432.78 1445.192 1454.113333 -8.921333
2020-02-07 1467.38 1479.11 1465.828 1463.460000 2.368000
2020-02-10 1477.23 1508.66 1471.040 1465.402667 5.637333
2020-02-25 1431.00 1386.32 1466.300 1484.463333 -18.163333
2020-02-26 1394.98 1390.47 1439.420 1480.800667 -41.380667
2020-03-31 1148.73 1161.95 1136.612 1124.403333 12.208667
2020-04-01 1124.00 1102.10 1136.708 1117.150000 19.558000
2020-06-15 1389.49 1420.74 1430.468 1430.969333 -0.501333
2020-06-16 1449.00 1446.47 1429.346 1432.642667 -3.296667
2020-06-19 1440.00 1424.64 1435.702 1435.260000 0.442000
2020-06-22 1425.01 1450.66 1441.686 1436.312667 5.373333
2020-06-26 1432.63 1362.54 1430.196 1433.942000 -3.746000
2020-06-29 1360.34 1397.17 1419.498 1430.550667 -11.052667
trade_signal signal_change entry_exit
date
2019-02-21 0.0 -1.0 0.0
2019-02-28 1.0 1.0 0.0
2019-03-01 1.0 0.0 1.0
2019-03-28 0.0 -1.0 0.0
2019-03-29 0.0 0.0 -1.0
2019-04-04 1.0 1.0 0.0
2019-04-05 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-06-17 1.0 1.0 0.0
2019-06-18 1.0 0.0 1.0
2019-06-28 0.0 -1.0 0.0
2019-07-01 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-07-25 0.0 -1.0 0.0
2019-07-26 1.0 1.0 -1.0
2019-07-29 1.0 0.0 1.0
2019-08-08 0.0 -1.0 0.0
2019-08-09 0.0 0.0 -1.0
2019-08-21 1.0 1.0 0.0
2019-08-22 1.0 0.0 1.0
2019-08-26 0.0 -1.0 0.0
2019-08-27 0.0 0.0 -1.0
2019-09-04 1.0 1.0 0.0
2019-09-05 1.0 0.0 1.0
2019-10-01 0.0 -1.0 0.0
2019-10-02 0.0 0.0 -1.0
2019-10-15 1.0 1.0 0.0
2019-10-16 1.0 0.0 1.0
2019-11-25 0.0 -1.0 0.0
2019-11-26 0.0 0.0 -1.0
2019-12-06 1.0 1.0 0.0
2019-12-09 1.0 0.0 1.0
2019-12-31 0.0 -1.0 0.0
2020-01-02 1.0 1.0 -1.0
2020-01-03 0.0 -1.0 1.0
2020-01-06 1.0 1.0 -1.0
2020-01-07 1.0 0.0 1.0
2020-01-30 0.0 -1.0 0.0
2020-01-31 0.0 0.0 -1.0
2020-02-07 1.0 1.0 0.0
2020-02-10 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 1.0 0.0 1.0
2020-06-15 0.0 -1.0 0.0
2020-06-16 0.0 0.0 -1.0
2020-06-19 1.0 1.0 0.0
2020-06-22 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_003_SlowMA_15_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1040.245 1038.817333 1.427667
2019-01-08 1086.00 1085.37 1049.657 1041.061333 8.595667
2019-02-20 1128.88 1120.59 1118.544 1121.415333 -2.871333
2019-02-21 1118.78 1104.21 1116.676 1121.830000 -5.154000
2019-02-26 1114.37 1122.01 1121.225 1119.828000 1.397000
2019-02-27 1114.01 1122.89 1120.756 1117.896000 2.860000
2019-04-03 1212.70 1210.81 1197.350 1198.251333 -0.901333
2019-04-04 1211.29 1219.45 1195.682 1200.046000 -4.364000
2019-04-11 1208.90 1209.59 1205.013 1199.685333 5.327667
2019-04-12 1215.62 1222.73 1209.597 1200.690667 8.906333
2019-05-06 1172.00 1193.46 1229.340 1232.480667 -3.140667
2019-05-07 1185.81 1178.86 1220.167 1229.302667 -9.135667
2019-06-19 1107.24 1104.51 1083.998 1080.384000 3.614000
2019-06-20 1121.70 1113.20 1090.542 1079.836667 10.705333
2019-07-08 1125.87 1116.79 1102.907 1104.752000 -1.845000
2019-07-09 1110.32 1124.29 1103.666 1106.778667 -3.112667
2019-07-11 1146.16 1144.08 1115.375 1111.794667 3.580333
2019-07-12 1142.93 1145.34 1122.246 1113.937333 8.308667
2019-08-13 1174.35 1196.73 1189.436 1192.339333 -2.903333
2019-08-14 1176.07 1164.25 1184.041 1193.974000 -9.933000
2019-08-21 1195.82 1191.58 1185.465 1184.299333 1.165667
2019-08-22 1193.80 1191.52 1183.998 1182.948667 1.049333
2019-08-26 1159.45 1171.18 1180.134 1181.194667 -1.060667
2019-08-27 1183.00 1170.82 1177.543 1181.177333 -3.634333
2019-08-29 1186.42 1194.24 1180.985 1180.236667 0.748333
2019-08-30 1200.35 1190.53 1182.117 1180.345333 1.771667
2019-09-03 1181.85 1169.55 1179.028 1180.015333 -0.987333
2019-09-04 1179.45 1182.27 1178.902 1179.051333 -0.149333
2019-09-09 1207.08 1205.27 1187.612 1186.451333 1.160667
2019-09-10 1196.09 1205.70 1191.064 1186.802000 4.262000
2019-10-01 1222.49 1206.00 1229.558 1230.139333 -0.581333
2019-10-02 1196.50 1177.92 1224.085 1227.334000 -3.249000
2019-10-17 1251.40 1252.80 1219.273 1214.211333 5.061667
2019-10-18 1254.69 1244.41 1222.618 1215.442000 7.176000
2019-12-02 1302.56 1288.86 1305.182 1305.745333 -0.563333
2019-12-03 1278.66 1294.74 1302.672 1305.509333 -2.837333
2019-12-09 1338.86 1342.99 1314.674 1311.656000 3.018000
2019-12-10 1339.94 1342.89 1318.399 1313.192667 5.206333
2020-02-05 1463.61 1446.05 1455.088 1459.078667 -3.990667
2020-02-06 1451.98 1475.97 1454.216 1461.530000 -7.314000
2020-02-11 1513.27 1510.06 1469.159 1467.256667 1.902333
2020-02-12 1515.86 1518.63 1475.352 1469.554000 5.798000
2020-02-26 1394.98 1390.47 1479.216 1480.800667 -1.584667
2020-02-27 1359.14 1314.95 1458.848 1472.060667 -13.212667
2020-04-03 1114.71 1092.70 1117.903 1109.410667 8.492333
2020-04-06 1133.00 1183.19 1130.809 1116.756667 14.052333
2020-06-22 1425.01 1450.66 1436.077 1436.312667 -0.235667
2020-06-23 1452.00 1463.98 1437.267 1437.757333 -0.490333
2020-06-29 1360.34 1397.17 1430.592 1430.550667 0.041333
2020-06-30 1396.88 1418.05 1427.750 1428.282000 -0.532000
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-02-20 0.0 -1.0 0.0
2019-02-21 0.0 0.0 -1.0
2019-02-26 1.0 1.0 0.0
2019-02-27 1.0 0.0 1.0
2019-04-03 0.0 -1.0 0.0
2019-04-04 0.0 0.0 -1.0
2019-04-11 1.0 1.0 0.0
2019-04-12 1.0 0.0 1.0
2019-05-06 0.0 -1.0 0.0
2019-05-07 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-07-08 0.0 -1.0 0.0
2019-07-09 0.0 0.0 -1.0
2019-07-11 1.0 1.0 0.0
2019-07-12 1.0 0.0 1.0
2019-08-13 0.0 -1.0 0.0
2019-08-14 0.0 0.0 -1.0
2019-08-21 1.0 1.0 0.0
2019-08-22 1.0 0.0 1.0
2019-08-26 0.0 -1.0 0.0
2019-08-27 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-09-03 0.0 -1.0 0.0
2019-09-04 0.0 0.0 -1.0
2019-09-09 1.0 1.0 0.0
2019-09-10 1.0 0.0 1.0
2019-10-01 0.0 -1.0 0.0
2019-10-02 0.0 0.0 -1.0
2019-10-17 1.0 1.0 0.0
2019-10-18 1.0 0.0 1.0
2019-12-02 0.0 -1.0 0.0
2019-12-03 0.0 0.0 -1.0
2019-12-09 1.0 1.0 0.0
2019-12-10 1.0 0.0 1.0
2020-02-05 0.0 -1.0 0.0
2020-02-06 0.0 0.0 -1.0
2020-02-11 1.0 1.0 0.0
2020-02-12 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-03 1.0 1.0 0.0
2020-04-06 1.0 0.0 1.0
2020-06-22 0.0 -1.0 0.0
2020-06-23 0.0 0.0 -1.0
2020-06-29 1.0 1.0 0.0
2020-06-30 0.0 -1.0 1.0
List the signal change and entry/exit points for SMA_004_SlowMA_20_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-02-26 1114.37 1122.01 1116.140 1117.5700 -1.4300
2019-03-01 1131.00 1148.52 1127.460 1122.7710 4.6890
2019-03-04 1154.56 1153.42 1134.678 1124.5110 10.1670
2019-03-29 1180.18 1176.89 1182.878 1186.1190 -3.2410
2019-04-01 1187.54 1198.98 1183.198 1188.3970 -5.1990
2019-04-03 1212.70 1210.81 1192.898 1192.5080 0.3900
2019-04-04 1211.29 1219.45 1202.334 1195.9380 6.3960
2019-05-02 1172.60 1166.51 1222.482 1229.2420 -6.7600
2019-05-03 1177.41 1189.55 1204.908 1227.7470 -22.8390
2019-06-19 1107.24 1104.51 1096.190 1095.2530 0.9370
2019-06-20 1121.70 1113.20 1100.628 1093.1205 7.5075
2019-07-01 1101.04 1100.00 1085.466 1086.0855 -0.6195
2019-07-02 1104.83 1112.60 1090.470 1088.9910 1.4790
2019-07-03 1118.50 1122.99 1099.004 1092.9085 6.0955
2019-08-15 1168.43 1169.32 1178.740 1181.8735 -3.1335
2019-08-16 1180.79 1179.21 1176.802 1184.2565 -7.4545
2019-08-30 1200.35 1190.53 1180.104 1180.1005 0.0035
2019-09-03 1181.85 1169.55 1179.778 1180.8405 -1.0625
2019-09-04 1179.45 1182.27 1182.068 1181.4000 0.6680
2019-09-05 1193.66 1212.19 1189.756 1183.2140 6.5420
2019-10-02 1196.50 1177.92 1214.660 1222.9745 -8.3145
2019-10-03 1183.34 1189.43 1204.088 1221.8365 -17.7485
2019-10-16 1241.81 1243.00 1225.638 1218.5105 7.1275
2019-10-17 1251.40 1252.80 1234.304 1219.2130 15.0910
2019-12-03 1278.66 1294.74 1302.564 1303.9655 -1.4015
2019-12-04 1306.10 1318.94 1303.752 1305.3405 -1.5885
2019-12-06 1332.75 1339.39 1313.778 1308.7605 5.0175
2019-12-09 1338.86 1342.99 1324.604 1310.4600 14.1440
2020-02-25 1431.00 1386.32 1466.300 1477.1890 -10.8890
2020-02-26 1394.98 1390.47 1439.420 1474.1875 -34.7675
2020-04-07 1217.01 1182.56 1135.516 1127.1815 8.3345
2020-04-08 1203.10 1207.00 1156.496 1126.9865 29.5095
2020-06-17 1452.94 1452.54 1426.914 1429.6350 -2.7210
2020-06-18 1449.85 1434.12 1433.358 1430.8830 2.4750
2020-06-19 1440.00 1424.64 1435.702 1431.7775 3.9245
2020-06-26 1432.63 1362.54 1430.196 1433.9940 -3.7980
2020-06-29 1360.34 1397.17 1419.498 1432.1090 -12.6110
trade_signal signal_change entry_exit
date
2019-02-26 0.0 -1.0 0.0
2019-03-01 1.0 1.0 0.0
2019-03-04 1.0 0.0 1.0
2019-03-29 0.0 -1.0 0.0
2019-04-01 0.0 0.0 -1.0
2019-04-03 1.0 1.0 0.0
2019-04-04 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-07-01 0.0 -1.0 0.0
2019-07-02 1.0 1.0 -1.0
2019-07-03 1.0 0.0 1.0
2019-08-15 0.0 -1.0 0.0
2019-08-16 0.0 0.0 -1.0
2019-08-30 1.0 1.0 0.0
2019-09-03 0.0 -1.0 1.0
2019-09-04 1.0 1.0 -1.0
2019-09-05 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-16 1.0 1.0 0.0
2019-10-17 1.0 0.0 1.0
2019-12-03 0.0 -1.0 0.0
2019-12-04 0.0 0.0 -1.0
2019-12-06 1.0 1.0 0.0
2019-12-09 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-07 1.0 1.0 0.0
2020-04-08 1.0 0.0 1.0
2020-06-17 0.0 -1.0 0.0
2020-06-18 1.0 1.0 -1.0
2020-06-19 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_005_SlowMA_20_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1049.657 1046.4865 3.1705
2019-01-09 1087.99 1081.65 1059.355 1047.9100 11.4450
2019-02-28 1119.00 1126.55 1120.548 1121.6395 -1.0915
2019-03-01 1131.00 1148.52 1122.480 1122.7710 -0.2910
2019-03-04 1154.56 1153.42 1125.859 1124.5110 1.3480
2019-03-05 1156.00 1169.19 1130.127 1125.8995 4.2275
2019-04-04 1211.29 1219.45 1195.682 1195.9380 -0.2560
2019-04-05 1219.30 1211.45 1196.062 1199.0120 -2.9500
2019-04-10 1205.09 1206.45 1201.281 1201.1045 0.1765
2019-04-11 1208.90 1209.59 1205.013 1201.9575 3.0555
2019-05-07 1185.81 1178.86 1220.167 1225.3765 -5.2095
2019-05-08 1177.29 1170.78 1211.240 1223.7810 -12.5410
2019-06-21 1109.86 1125.37 1096.242 1092.1220 4.1200
2019-06-24 1120.00 1116.70 1099.636 1091.0265 8.6095
2019-08-15 1168.43 1169.32 1179.795 1181.8735 -2.0785
2019-08-16 1180.79 1179.21 1178.084 1184.2565 -6.1725
2019-08-29 1186.42 1194.24 1180.985 1180.3900 0.5950
2019-08-30 1200.35 1190.53 1182.117 1180.1005 2.0165
2019-09-03 1181.85 1169.55 1179.028 1180.8405 -1.8125
2019-09-04 1179.45 1182.27 1178.902 1181.4000 -2.4980
2019-09-09 1207.08 1205.27 1187.612 1184.0390 3.5730
2019-09-10 1196.09 1205.70 1191.064 1185.5990 5.4650
2019-10-03 1183.34 1189.43 1219.153 1221.8365 -2.6835
2019-10-04 1194.29 1210.96 1217.265 1222.0685 -4.8035
2019-10-17 1251.40 1252.80 1219.273 1219.2130 0.0600
2019-10-18 1254.69 1244.41 1222.618 1219.9415 2.6765
2019-12-03 1278.66 1294.74 1302.672 1303.9655 -1.2935
2019-12-04 1306.10 1318.94 1303.307 1305.3405 -2.0335
2019-12-06 1332.75 1339.39 1309.742 1308.7605 0.9815
2019-12-09 1338.86 1342.99 1314.674 1310.4600 4.2140
2020-02-07 1467.38 1479.11 1455.510 1457.0420 -1.5320
2020-02-10 1477.23 1508.66 1463.203 1461.0270 2.1760
2020-02-11 1513.27 1510.06 1469.159 1464.5285 4.6305
2020-02-27 1359.14 1314.95 1458.848 1467.1000 -8.2520
2020-02-28 1274.31 1339.25 1441.434 1461.3500 -19.9160
2020-04-07 1217.01 1182.56 1136.064 1127.1815 8.8825
2020-04-08 1203.10 1207.00 1146.602 1126.9865 19.6155
2020-06-24 1463.28 1432.70 1434.067 1436.4000 -2.3330
2020-06-25 1431.22 1441.10 1437.987 1437.5430 0.4440
2020-06-26 1432.63 1362.54 1432.949 1433.9940 -1.0450
2020-06-29 1360.34 1397.17 1430.592 1432.1090 -1.5170
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-02-28 0.0 -1.0 0.0
2019-03-01 0.0 0.0 -1.0
2019-03-04 1.0 1.0 0.0
2019-03-05 1.0 0.0 1.0
2019-04-04 0.0 -1.0 0.0
2019-04-05 0.0 0.0 -1.0
2019-04-10 1.0 1.0 0.0
2019-04-11 1.0 0.0 1.0
2019-05-07 0.0 -1.0 0.0
2019-05-08 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-08-15 0.0 -1.0 0.0
2019-08-16 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-09-03 0.0 -1.0 0.0
2019-09-04 0.0 0.0 -1.0
2019-09-09 1.0 1.0 0.0
2019-09-10 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 0.0 0.0 -1.0
2019-10-17 1.0 1.0 0.0
2019-10-18 1.0 0.0 1.0
2019-12-03 0.0 -1.0 0.0
2019-12-04 0.0 0.0 -1.0
2019-12-06 1.0 1.0 0.0
2019-12-09 1.0 0.0 1.0
2020-02-07 0.0 -1.0 0.0
2020-02-10 1.0 1.0 -1.0
2020-02-11 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-07 1.0 1.0 0.0
2020-04-08 1.0 0.0 1.0
2020-06-24 0.0 -1.0 0.0
2020-06-25 1.0 1.0 -1.0
2020-06-26 0.0 -1.0 1.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_006_SlowMA_20_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-11 1069.90 1064.47 1049.090000 1048.3060 0.784000
2019-01-14 1053.34 1051.51 1050.952000 1047.2045 3.747500
2019-02-27 1114.01 1122.89 1117.896000 1120.2115 -2.315500
2019-02-28 1119.00 1126.55 1118.140000 1121.6395 -3.499500
2019-03-05 1156.00 1169.19 1128.854667 1125.8995 2.955167
2019-03-06 1171.76 1164.94 1131.345333 1126.5530 4.792333
2019-04-11 1208.90 1209.59 1199.685333 1201.9575 -2.272167
2019-04-12 1215.62 1222.73 1200.690667 1203.5790 -2.888333
2019-04-17 1237.00 1240.14 1209.580667 1207.6360 1.944667
2019-04-18 1245.00 1241.47 1214.194000 1207.9030 6.291000
2019-05-09 1162.60 1167.97 1220.416000 1221.8570 -1.441000
2019-05-10 1168.84 1167.64 1215.494000 1219.7595 -4.265500
2019-06-25 1115.08 1087.58 1088.498000 1088.4275 0.070500
2019-06-26 1091.00 1080.32 1090.876667 1086.4465 4.430167
2019-08-20 1195.35 1183.53 1186.074000 1189.0920 -3.018000
2019-08-21 1195.82 1191.58 1184.299333 1191.6845 -7.385167
2019-08-30 1200.35 1190.53 1180.345333 1180.1005 0.244833
2019-09-03 1181.85 1169.55 1180.015333 1180.8405 -0.825167
2019-09-04 1179.45 1182.27 1179.051333 1181.4000 -2.348667
2019-09-06 1209.14 1206.32 1184.714000 1183.2205 1.493500
2019-09-09 1207.08 1205.27 1186.451333 1184.0390 2.412333
2019-10-07 1207.00 1208.25 1220.801333 1222.2175 -1.416167
2019-10-08 1198.77 1190.13 1218.151333 1221.4390 -3.287667
2019-10-23 1240.21 1257.63 1224.645333 1222.1490 2.496333
2019-10-24 1259.11 1259.11 1229.290667 1222.9900 6.300667
2020-02-13 1510.00 1513.39 1471.467333 1472.6400 -1.172667
2020-02-14 1514.53 1518.73 1474.971333 1476.0685 -1.097167
2020-02-18 1514.34 1519.44 1480.818667 1478.0645 2.754167
2020-02-19 1527.20 1524.87 1485.776667 1480.1955 5.581167
2020-03-02 1351.39 1386.32 1456.760000 1459.0270 -2.267000
2020-03-03 1397.68 1337.72 1445.364000 1451.7830 -6.419000
2020-04-08 1203.10 1207.00 1128.777333 1126.9865 1.790833
2020-04-09 1218.18 1206.57 1135.104000 1131.7375 3.366500
2020-06-26 1432.63 1362.54 1433.942000 1433.9940 -0.052000
2020-06-29 1360.34 1397.17 1430.550667 1432.1090 -1.558333
trade_signal signal_change entry_exit
date
2019-01-11 1.0 1.0 0.0
2019-01-14 1.0 0.0 1.0
2019-02-27 0.0 -1.0 0.0
2019-02-28 0.0 0.0 -1.0
2019-03-05 1.0 1.0 0.0
2019-03-06 1.0 0.0 1.0
2019-04-11 0.0 -1.0 0.0
2019-04-12 0.0 0.0 -1.0
2019-04-17 1.0 1.0 0.0
2019-04-18 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-06-25 1.0 1.0 0.0
2019-06-26 1.0 0.0 1.0
2019-08-20 0.0 -1.0 0.0
2019-08-21 0.0 0.0 -1.0
2019-08-30 1.0 1.0 0.0
2019-09-03 0.0 -1.0 1.0
2019-09-04 0.0 0.0 -1.0
2019-09-06 1.0 1.0 0.0
2019-09-09 1.0 0.0 1.0
2019-10-07 0.0 -1.0 0.0
2019-10-08 0.0 0.0 -1.0
2019-10-23 1.0 1.0 0.0
2019-10-24 1.0 0.0 1.0
2020-02-13 0.0 -1.0 0.0
2020-02-14 0.0 0.0 -1.0
2020-02-18 1.0 1.0 0.0
2020-02-19 1.0 0.0 1.0
2020-03-02 0.0 -1.0 0.0
2020-03-03 0.0 0.0 -1.0
2020-04-08 1.0 1.0 0.0
2020-04-09 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_007_SlowMA_25_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1055.820 1054.0832 1.7368
2019-01-08 1086.00 1085.37 1063.902 1053.7148 10.1872
2019-05-03 1177.41 1189.55 1204.908 1222.6644 -17.7564
2019-05-06 1172.00 1193.46 1184.360 1223.3272 -38.9672
2019-06-21 1109.86 1125.37 1108.442 1104.4604 3.9816
2019-06-24 1120.00 1116.70 1113.004 1102.3772 10.6268
2019-06-28 1077.23 1082.80 1088.806 1091.4588 -2.6528
2019-07-01 1101.04 1100.00 1085.466 1089.9144 -4.4484
2019-07-02 1104.83 1112.60 1090.470 1088.8360 1.6340
2019-07-03 1118.50 1122.99 1099.004 1088.9580 10.0460
2019-08-20 1195.35 1183.53 1179.350 1179.7852 -0.4352
2019-08-21 1195.82 1191.58 1184.816 1181.5788 3.2372
2019-08-22 1193.80 1191.52 1189.256 1183.3500 5.9060
2019-08-23 1185.17 1153.58 1184.130 1184.2312 -0.1012
2019-08-26 1159.45 1171.18 1178.278 1185.5100 -7.2320
2019-09-05 1193.66 1212.19 1189.756 1182.9648 6.7912
2019-09-06 1209.14 1206.32 1192.172 1182.7464 9.4256
2019-10-02 1196.50 1177.92 1214.660 1214.7932 -0.1332
2019-10-03 1183.34 1189.43 1204.088 1215.4204 -11.3324
2019-10-16 1241.81 1243.00 1225.638 1221.5748 4.0632
2019-10-17 1251.40 1252.80 1234.304 1222.2880 12.0160
2020-02-25 1431.00 1386.32 1466.300 1475.7116 -9.4116
2020-02-26 1394.98 1390.47 1439.420 1472.0404 -32.6204
2020-04-08 1203.10 1207.00 1156.496 1154.0836 2.4124
2020-04-09 1218.18 1206.57 1174.404 1149.7560 24.6480
2020-06-26 1432.63 1362.54 1430.196 1431.4612 -1.2652
2020-06-29 1360.34 1397.17 1419.498 1430.8184 -11.3204
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-06-28 0.0 -1.0 0.0
2019-07-01 0.0 0.0 -1.0
2019-07-02 1.0 1.0 0.0
2019-07-03 1.0 0.0 1.0
2019-08-20 0.0 -1.0 0.0
2019-08-21 1.0 1.0 -1.0
2019-08-22 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-09-05 1.0 1.0 0.0
2019-09-06 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-16 1.0 1.0 0.0
2019-10-17 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-08 1.0 1.0 0.0
2020-04-09 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_008_SlowMA_25_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1059.355 1052.5948 6.7602
2019-01-10 1074.94 1078.83 1062.453 1051.0936 11.3594
2019-05-07 1185.81 1178.86 1220.167 1222.5224 -2.3554
2019-05-08 1177.29 1170.78 1211.240 1221.1320 -9.8920
2019-06-25 1115.08 1087.58 1100.290 1100.0940 0.1960
2019-06-26 1091.00 1080.32 1100.412 1097.1292 3.2828
2019-08-23 1185.17 1153.58 1180.466 1184.2312 -3.7652
2019-08-26 1159.45 1171.18 1180.134 1185.5100 -5.3760
2019-09-09 1207.08 1205.27 1187.612 1183.1044 4.5076
2019-09-10 1196.09 1205.70 1191.064 1185.1424 5.9216
2019-10-07 1207.00 1208.25 1214.621 1216.7980 -2.1770
2019-10-08 1198.77 1190.13 1211.801 1217.6212 -5.8202
2019-10-18 1254.69 1244.41 1222.618 1222.4632 0.1548
2019-10-21 1248.70 1244.28 1226.221 1222.9692 3.2518
2020-02-27 1359.14 1314.95 1458.848 1465.2716 -6.4236
2020-02-28 1274.31 1339.25 1441.434 1459.4540 -18.0200
2020-04-09 1218.18 1206.57 1150.967 1149.7560 1.2110
2020-04-13 1201.50 1210.41 1160.982 1146.3428 14.6392
2020-06-29 1360.34 1397.17 1430.592 1430.8184 -0.2264
2020-06-30 1396.88 1418.05 1427.750 1430.6856 -2.9356
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-07 0.0 -1.0 0.0
2019-05-08 0.0 0.0 -1.0
2019-06-25 1.0 1.0 0.0
2019-06-26 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-09-09 1.0 1.0 0.0
2019-09-10 1.0 0.0 1.0
2019-10-07 0.0 -1.0 0.0
2019-10-08 0.0 0.0 -1.0
2019-10-18 1.0 1.0 0.0
2019-10-21 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-09 1.0 1.0 0.0
2020-04-13 1.0 0.0 1.0
2020-06-29 0.0 -1.0 0.0
2020-06-30 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_009_SlowMA_25_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-14 1053.34 1051.51 1050.952000 1050.1108 0.841200
2019-01-15 1058.01 1086.51 1057.302667 1051.7080 5.594667
2019-04-12 1215.62 1222.73 1200.690667 1201.1992 -0.508533
2019-04-15 1224.09 1226.53 1202.634000 1203.0900 -0.456000
2019-04-16 1230.00 1231.91 1205.438667 1204.4764 0.962267
2019-04-17 1237.00 1240.14 1209.580667 1206.1196 3.461067
2019-05-10 1168.84 1167.64 1215.494000 1217.3460 -1.852000
2019-05-13 1145.24 1136.59 1207.682667 1214.3516 -6.668933
2019-06-28 1077.23 1082.80 1093.763333 1091.4588 2.304533
2019-07-01 1101.04 1100.00 1094.912667 1089.9144 4.998267
2019-08-22 1193.80 1191.52 1182.948667 1183.3500 -0.401333
2019-08-23 1185.17 1153.58 1180.099333 1184.2312 -4.131867
2019-09-06 1209.14 1206.32 1184.714000 1182.7464 1.967600
2019-09-09 1207.08 1205.27 1186.451333 1183.1044 3.346933
2019-10-09 1201.33 1202.40 1216.134667 1218.4264 -2.291733
2019-10-10 1198.60 1209.47 1214.182667 1218.3176 -4.134933
2019-10-23 1240.21 1257.63 1224.645333 1224.4212 0.224133
2019-10-24 1259.11 1259.11 1229.290667 1225.2356 4.055067
2020-03-03 1397.68 1337.72 1445.364000 1452.4996 -7.135600
2020-03-04 1358.96 1381.60 1436.800000 1449.7436 -12.943600
2020-04-14 1239.97 1265.23 1158.657333 1148.3204 10.336933
2020-04-15 1246.51 1257.30 1167.143333 1147.6056 19.537733
2020-06-29 1360.34 1397.17 1430.550667 1430.8184 -0.267733
2020-06-30 1396.88 1418.05 1428.282000 1430.6856 -2.403600
trade_signal signal_change entry_exit
date
2019-01-14 1.0 1.0 0.0
2019-01-15 1.0 0.0 1.0
2019-04-12 0.0 -1.0 0.0
2019-04-15 0.0 0.0 -1.0
2019-04-16 1.0 1.0 0.0
2019-04-17 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-06-28 1.0 1.0 0.0
2019-07-01 1.0 0.0 1.0
2019-08-22 0.0 -1.0 0.0
2019-08-23 0.0 0.0 -1.0
2019-09-06 1.0 1.0 0.0
2019-09-09 1.0 0.0 1.0
2019-10-09 0.0 -1.0 0.0
2019-10-10 0.0 0.0 -1.0
2019-10-23 1.0 1.0 0.0
2019-10-24 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-14 1.0 1.0 0.0
2020-04-15 1.0 0.0 1.0
2020-06-29 0.0 -1.0 0.0
2020-06-30 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_010_SlowMA_25_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-17 1087.99 1099.12 1054.9230 1054.6600 0.2630
2019-01-18 1108.59 1107.30 1058.5150 1056.0028 2.5122
2019-03-06 1171.76 1164.94 1126.5530 1126.6740 -0.1210
2019-03-07 1160.50 1150.85 1127.9510 1128.7884 -0.8374
2019-03-08 1133.90 1149.97 1130.1540 1129.7516 0.4024
2019-03-11 1152.00 1179.26 1133.9980 1132.1772 1.8208
2019-04-18 1245.00 1241.47 1207.9030 1208.0772 -0.1742
2019-04-22 1236.67 1253.76 1210.2085 1210.6156 -0.4071
2019-04-24 1270.59 1260.05 1217.3795 1216.2008 1.1787
2019-04-25 1270.30 1267.34 1221.8460 1217.8372 4.0088
2019-05-14 1142.32 1124.86 1210.3690 1211.0148 -0.6458
2019-05-15 1122.55 1170.80 1207.3135 1209.7392 -2.4257
2019-07-02 1104.83 1112.60 1088.9910 1088.8360 0.1550
2019-07-03 1118.50 1122.99 1092.9085 1088.9580 3.9505
2019-08-27 1183.00 1170.82 1183.4895 1186.4208 -2.9313
2019-08-28 1164.87 1173.75 1181.2670 1187.7816 -6.5146
2019-09-05 1193.66 1212.19 1183.2140 1182.9648 0.2492
2019-09-06 1209.14 1206.32 1183.2205 1182.7464 0.4741
2019-09-11 1203.89 1220.00 1186.7625 1187.0992 -0.3367
2019-09-12 1223.47 1234.97 1190.2985 1189.4616 0.8369
2019-09-13 1232.11 1240.03 1193.8340 1190.8152 3.0188
2019-10-11 1224.03 1215.71 1218.0680 1218.6932 -0.6252
2019-10-14 1213.89 1217.77 1217.3750 1219.1932 -1.8182
2019-10-29 1276.00 1260.66 1231.0325 1230.4788 0.5537
2019-10-30 1255.15 1260.70 1235.1715 1231.0692 4.1023
2020-03-03 1397.68 1337.72 1451.7830 1452.4996 -0.7166
2020-03-04 1358.96 1381.60 1448.5925 1449.7436 -1.1511
2020-04-15 1246.51 1257.30 1148.1180 1147.6056 0.5124
2020-04-16 1267.14 1257.43 1156.4300 1149.4668 6.9632
trade_signal signal_change entry_exit
date
2019-01-17 1.0 1.0 0.0
2019-01-18 1.0 0.0 1.0
2019-03-06 0.0 -1.0 0.0
2019-03-07 0.0 0.0 -1.0
2019-03-08 1.0 1.0 0.0
2019-03-11 1.0 0.0 1.0
2019-04-18 0.0 -1.0 0.0
2019-04-22 0.0 0.0 -1.0
2019-04-24 1.0 1.0 0.0
2019-04-25 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-07-02 1.0 1.0 0.0
2019-07-03 1.0 0.0 1.0
2019-08-27 0.0 -1.0 0.0
2019-08-28 0.0 0.0 -1.0
2019-09-05 1.0 1.0 0.0
2019-09-06 1.0 0.0 1.0
2019-09-11 0.0 -1.0 0.0
2019-09-12 1.0 1.0 -1.0
2019-09-13 1.0 0.0 1.0
2019-10-11 0.0 -1.0 0.0
2019-10-14 0.0 0.0 -1.0
2019-10-29 1.0 1.0 0.0
2019-10-30 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-15 1.0 1.0 0.0
2020-04-16 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_011_SlowMA_30_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1055.820 1054.187333 1.632667
2019-01-08 1086.00 1085.37 1063.902 1055.585333 8.316667
2019-05-03 1177.41 1189.55 1204.908 1217.058667 -12.150667
2019-05-06 1172.00 1193.46 1184.360 1216.585667 -32.225667
2019-06-24 1120.00 1116.70 1113.004 1111.498667 1.505333
2019-06-25 1115.08 1087.58 1109.472 1109.865000 -0.393000
2019-06-26 1091.00 1080.32 1104.634 1108.380333 -3.746333
2019-07-03 1118.50 1122.99 1099.004 1097.441667 1.562333
2019-07-05 1119.37 1132.66 1110.210 1096.668667 13.541333
2019-08-26 1159.45 1171.18 1178.278 1178.531667 -0.253667
2019-08-27 1183.00 1170.82 1175.736 1179.110333 -3.374333
2019-09-05 1193.66 1212.19 1189.756 1188.110667 1.645333
2019-09-06 1209.14 1206.32 1192.172 1190.456667 1.715333
2019-10-03 1183.34 1189.43 1204.088 1208.212000 -4.124000
2019-10-04 1194.29 1210.96 1201.090 1208.860000 -7.770000
2019-10-16 1241.81 1243.00 1225.638 1219.628333 6.009667
2019-10-17 1251.40 1252.80 1234.304 1220.982000 13.322000
2020-02-25 1431.00 1386.32 1466.300 1471.076333 -4.776333
2020-02-26 1394.98 1390.47 1439.420 1469.424333 -30.004333
2020-04-13 1201.50 1210.41 1197.946 1179.157000 18.789000
2020-04-14 1239.97 1265.23 1214.354 1175.120667 39.233333
2020-06-29 1360.34 1397.17 1419.498 1425.306333 -5.808333
2020-06-30 1396.88 1418.05 1410.312 1426.402000 -16.090000
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 0.0 -1.0 1.0
2019-06-26 0.0 0.0 -1.0
2019-07-03 1.0 1.0 0.0
2019-07-05 1.0 0.0 1.0
2019-08-26 0.0 -1.0 0.0
2019-08-27 0.0 0.0 -1.0
2019-09-05 1.0 1.0 0.0
2019-09-06 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 0.0 0.0 -1.0
2019-10-16 1.0 1.0 0.0
2019-10-17 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-13 1.0 1.0 0.0
2020-04-14 1.0 0.0 1.0
2020-06-29 0.0 -1.0 0.0
2020-06-30 0.0 0.0 -1.0
List the signal change and entry/exit points for SMA_012_SlowMA_30_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1059.355 1057.303667 2.051333
2019-01-10 1074.94 1078.83 1062.453 1058.066667 4.386333
2019-05-08 1177.29 1170.78 1211.240 1215.333000 -4.093000
2019-05-09 1162.60 1167.97 1201.303 1214.998333 -13.695333
2019-07-02 1104.83 1112.60 1099.971 1098.490000 1.481000
2019-07-03 1118.50 1122.99 1101.819 1097.441667 4.377333
2019-08-27 1183.00 1170.82 1177.543 1179.110333 -1.567333
2019-08-28 1164.87 1173.75 1178.493 1180.010667 -1.517667
2019-09-10 1196.09 1205.70 1191.064 1187.920333 3.143667
2019-09-11 1203.89 1220.00 1195.982 1187.653667 8.328333
2019-10-09 1201.33 1202.40 1207.447 1212.366667 -4.919667
2019-10-10 1198.60 1209.47 1204.165 1213.557333 -9.392333
2019-10-18 1254.69 1244.41 1222.618 1222.251667 0.366333
2019-10-21 1248.70 1244.28 1226.221 1223.552000 2.669000
2020-02-27 1359.14 1314.95 1458.848 1465.569667 -6.721667
2020-02-28 1274.31 1339.25 1441.434 1462.238000 -20.804000
2020-04-15 1246.51 1257.30 1182.409 1172.440000 9.969000
2020-04-16 1267.14 1257.43 1197.942 1168.301000 29.641000
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-08 0.0 -1.0 0.0
2019-05-09 0.0 0.0 -1.0
2019-07-02 1.0 1.0 0.0
2019-07-03 1.0 0.0 1.0
2019-08-27 0.0 -1.0 0.0
2019-08-28 0.0 0.0 -1.0
2019-09-10 1.0 1.0 0.0
2019-09-11 1.0 0.0 1.0
2019-10-09 0.0 -1.0 0.0
2019-10-10 0.0 0.0 -1.0
2019-10-18 1.0 1.0 0.0
2019-10-21 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-15 1.0 1.0 0.0
2020-04-16 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_013_SlowMA_30_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-15 1058.01 1086.51 1057.302667 1056.861333 0.441333
2019-01-16 1090.00 1089.51 1064.292000 1056.190000 8.102000
2019-05-13 1145.24 1136.59 1207.682667 1213.500667 -5.818000
2019-05-14 1142.32 1124.86 1197.967333 1211.030000 -13.062667
2019-07-03 1118.50 1122.99 1099.942667 1097.441667 2.501000
2019-07-05 1119.37 1132.66 1102.719333 1096.668667 6.050667
2019-08-29 1186.42 1194.24 1180.236667 1181.577333 -1.340667
2019-08-30 1200.35 1190.53 1180.345333 1183.543333 -3.198000
2019-09-11 1203.89 1220.00 1189.233333 1187.653667 1.579667
2019-09-12 1223.47 1234.97 1192.126000 1188.212667 3.913333
2019-10-11 1224.03 1215.71 1213.240667 1214.273000 -1.032333
2019-10-14 1213.89 1217.77 1212.112667 1215.181000 -3.068333
2019-10-24 1259.11 1259.11 1229.290667 1226.794333 2.496333
2019-10-25 1252.00 1264.30 1232.846667 1227.603333 5.243333
2020-03-02 1351.39 1386.32 1456.760000 1460.110000 -3.350000
2020-03-03 1397.68 1337.72 1445.364000 1455.383333 -10.019333
2020-04-16 1267.14 1257.43 1177.530667 1168.301000 9.229667
2020-04-17 1281.70 1279.00 1185.269333 1167.109000 18.160333
trade_signal signal_change entry_exit
date
2019-01-15 1.0 1.0 0.0
2019-01-16 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-03 1.0 1.0 0.0
2019-07-05 1.0 0.0 1.0
2019-08-29 0.0 -1.0 0.0
2019-08-30 0.0 0.0 -1.0
2019-09-11 1.0 1.0 0.0
2019-09-12 1.0 0.0 1.0
2019-10-11 0.0 -1.0 0.0
2019-10-14 0.0 0.0 -1.0
2019-10-24 1.0 1.0 0.0
2019-10-25 1.0 0.0 1.0
2020-03-02 0.0 -1.0 0.0
2020-03-03 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_014_SlowMA_30_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-18 1108.59 1107.30 1058.5150 1057.109667 1.405333
2019-01-22 1096.00 1078.63 1061.2675 1057.128000 4.139500
2019-05-14 1142.32 1124.86 1210.3690 1211.030000 -0.661000
2019-05-15 1122.55 1170.80 1207.3135 1209.872000 -2.558500
2019-07-05 1119.37 1132.66 1097.1535 1096.668667 0.484833
2019-07-08 1125.87 1116.79 1099.5745 1095.717000 3.857500
2019-08-29 1186.42 1194.24 1180.3900 1181.577333 -1.187333
2019-08-30 1200.35 1190.53 1180.1005 1183.543333 -3.442833
2019-09-12 1223.47 1234.97 1190.2985 1188.212667 2.085833
2019-09-13 1232.11 1240.03 1193.8340 1189.154333 4.679667
2019-10-16 1241.81 1243.00 1218.5105 1219.628333 -1.117833
2019-10-17 1251.40 1252.80 1219.2130 1220.982000 -1.769000
2019-10-29 1276.00 1260.66 1231.0325 1230.541000 0.491500
2019-10-30 1255.15 1260.70 1235.1715 1231.476000 3.695500
2020-02-28 1274.31 1339.25 1461.3500 1462.238000 -0.888000
2020-03-02 1351.39 1386.32 1459.0270 1460.110000 -1.083000
2020-04-20 1269.89 1261.15 1174.4435 1165.956000 8.487500
2020-04-21 1242.71 1212.16 1182.3450 1165.835000 16.510000
trade_signal signal_change entry_exit
date
2019-01-18 1.0 1.0 0.0
2019-01-22 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-08-29 0.0 -1.0 0.0
2019-08-30 0.0 0.0 -1.0
2019-09-12 1.0 1.0 0.0
2019-09-13 1.0 0.0 1.0
2019-10-16 0.0 -1.0 0.0
2019-10-17 0.0 0.0 -1.0
2019-10-29 1.0 1.0 0.0
2019-10-30 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-20 1.0 1.0 0.0
2020-04-21 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_015_SlowMA_35_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1055.820 1053.639714 2.180286
2019-01-08 1086.00 1085.37 1063.902 1054.519429 9.382571
2019-05-03 1177.41 1189.55 1204.908 1215.875143 -10.967143
2019-05-06 1172.00 1193.46 1184.360 1215.965429 -31.605429
2019-07-05 1119.37 1132.66 1110.210 1105.951143 4.258857
2019-07-08 1125.87 1116.79 1117.008 1104.016571 12.991429
2019-08-28 1164.87 1173.75 1172.170 1175.441429 -3.271429
2019-08-29 1186.42 1194.24 1172.714 1176.874571 -4.160571
2019-08-30 1200.35 1190.53 1180.104 1178.165714 1.938286
2019-09-03 1181.85 1169.55 1179.778 1178.709714 1.068286
2019-10-03 1183.34 1189.43 1204.088 1204.869714 -0.781714
2019-10-04 1194.29 1210.96 1201.090 1206.059429 -4.969429
2019-10-15 1221.50 1242.24 1217.518 1212.200286 5.317714
2019-10-16 1241.81 1243.00 1225.638 1214.262571 11.375429
2020-02-26 1394.98 1390.47 1439.420 1462.047429 -22.627429
2020-02-27 1359.14 1314.95 1399.012 1459.757143 -60.745143
2020-04-14 1239.97 1265.23 1214.354 1202.026571 12.327429
2020-04-15 1246.51 1257.30 1229.302 1198.340286 30.961714
2020-06-30 1396.88 1418.05 1410.312 1418.019143 -7.707143
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-08-28 0.0 -1.0 0.0
2019-08-29 0.0 0.0 -1.0
2019-08-30 1.0 1.0 0.0
2019-09-03 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 0.0 0.0 -1.0
2019-10-15 1.0 1.0 0.0
2019-10-16 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-14 1.0 1.0 0.0
2020-04-15 1.0 0.0 1.0
2020-06-30 0.0 -1.0 0.0
List the signal change and entry/exit points for SMA_016_SlowMA_35_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1059.355 1054.822286 4.532714
2019-01-10 1074.94 1078.83 1062.453 1055.124000 7.329000
2019-05-08 1177.29 1170.78 1211.240 1214.783429 -3.543429
2019-05-09 1162.60 1167.97 1201.303 1213.113143 -11.810143
2019-07-09 1110.32 1124.29 1103.666 1102.745429 0.920571
2019-07-10 1132.32 1140.91 1108.999 1102.638286 6.360714
2019-09-04 1179.45 1182.27 1178.902 1179.532857 -0.630857
2019-09-05 1193.66 1212.19 1180.963 1181.402857 -0.439857
2019-09-09 1207.08 1205.27 1187.612 1185.197143 2.414857
2019-09-10 1196.09 1205.70 1191.064 1187.096857 3.967143
2019-10-10 1198.60 1209.47 1204.165 1207.644857 -3.479857
2019-10-11 1224.03 1215.71 1203.141 1208.336000 -5.195000
2019-10-17 1251.40 1252.80 1219.273 1216.521143 2.751857
2019-10-18 1254.69 1244.41 1222.618 1217.954571 4.663429
2020-02-27 1359.14 1314.95 1458.848 1459.757143 -0.909143
2020-02-28 1274.31 1339.25 1441.434 1457.877429 -16.443429
2020-04-16 1267.14 1257.43 1197.942 1194.539143 3.402857
2020-04-17 1281.70 1279.00 1214.139 1193.512000 20.627000
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-08 0.0 -1.0 0.0
2019-05-09 0.0 0.0 -1.0
2019-07-09 1.0 1.0 0.0
2019-07-10 1.0 0.0 1.0
2019-09-04 0.0 -1.0 0.0
2019-09-05 0.0 0.0 -1.0
2019-09-09 1.0 1.0 0.0
2019-09-10 1.0 0.0 1.0
2019-10-10 0.0 -1.0 0.0
2019-10-11 0.0 0.0 -1.0
2019-10-17 1.0 1.0 0.0
2019-10-18 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_017_SlowMA_35_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-16 1090.00 1089.51 1064.292000 1059.712571 4.579429
2019-01-17 1087.99 1099.12 1067.710000 1060.946286 6.763714
2019-05-13 1145.24 1136.59 1207.682667 1209.126000 -1.443333
2019-05-14 1142.32 1124.86 1197.967333 1207.054000 -9.086667
2019-07-08 1125.87 1116.79 1104.752000 1104.016571 0.735429
2019-07-09 1110.32 1124.29 1106.778667 1102.745429 4.033238
2019-09-04 1179.45 1182.27 1179.051333 1179.532857 -0.481524
2019-09-05 1193.66 1212.19 1182.247333 1181.402857 0.844476
2019-09-06 1209.14 1206.32 1184.714000 1183.090857 1.623143
2019-09-10 1196.09 1205.70 1186.802000 1187.096857 -0.294857
2019-09-11 1203.89 1220.00 1189.233333 1189.152571 0.080762
2019-09-12 1223.47 1234.97 1192.126000 1191.873714 0.252286
2019-10-16 1241.81 1243.00 1213.510667 1214.262571 -0.751905
2019-10-17 1251.40 1252.80 1214.211333 1216.521143 -2.309810
2019-10-23 1240.21 1257.63 1224.645333 1223.690571 0.954762
2019-10-24 1259.11 1259.11 1229.290667 1225.031143 4.259524
2020-03-02 1351.39 1386.32 1456.760000 1456.921143 -0.161143
2020-03-03 1397.68 1337.72 1445.364000 1454.314286 -8.950286
2020-04-20 1269.89 1261.15 1195.328667 1191.280571 4.048095
2020-04-21 1242.71 1212.16 1199.718667 1186.304571 13.414095
trade_signal signal_change entry_exit
date
2019-01-16 1.0 1.0 0.0
2019-01-17 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-08 1.0 1.0 0.0
2019-07-09 1.0 0.0 1.0
2019-09-04 0.0 -1.0 0.0
2019-09-05 1.0 1.0 -1.0
2019-09-06 1.0 0.0 1.0
2019-09-10 0.0 -1.0 0.0
2019-09-11 1.0 1.0 -1.0
2019-09-12 1.0 0.0 1.0
2019-10-16 0.0 -1.0 0.0
2019-10-17 0.0 0.0 -1.0
2019-10-23 1.0 1.0 0.0
2019-10-24 1.0 0.0 1.0
2020-03-02 0.0 -1.0 0.0
2020-03-03 0.0 0.0 -1.0
2020-04-20 1.0 1.0 0.0
2020-04-21 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_018_SlowMA_35_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-23 1086.86 1084.41 1065.9255 1061.851714 4.073786
2019-01-24 1082.51 1084.00 1070.8920 1061.118857 9.773143
2019-05-16 1171.84 1184.50 1204.5315 1206.695429 -2.163929
2019-05-17 1175.83 1168.78 1200.8970 1206.595714 -5.698714
2019-07-10 1132.32 1140.91 1104.6445 1102.638286 2.006214
2019-07-11 1146.16 1144.08 1107.8935 1102.342286 5.551214
2019-09-09 1207.08 1205.27 1184.0390 1185.197143 -1.158143
2019-09-10 1196.09 1205.70 1185.5990 1187.096857 -1.497857
2019-09-16 1230.44 1231.63 1196.4550 1194.459429 1.995571
2019-09-17 1231.63 1229.88 1197.9270 1194.117714 3.809286
2019-10-23 1240.21 1257.63 1222.1490 1223.690571 -1.541571
2019-10-24 1259.11 1259.11 1222.9900 1225.031143 -2.041143
2019-10-29 1276.00 1260.66 1231.0325 1230.649714 0.382786
2019-10-30 1255.15 1260.70 1235.1715 1231.812571 3.358929
2020-03-03 1397.68 1337.72 1451.7830 1454.314286 -2.531286
2020-03-04 1358.96 1381.60 1448.5925 1452.644857 -4.052357
2020-04-22 1241.11 1258.41 1188.7650 1184.038571 4.726429
2020-04-23 1265.74 1271.17 1197.2425 1180.883429 16.359071
trade_signal signal_change entry_exit
date
2019-01-23 1.0 1.0 0.0
2019-01-24 1.0 0.0 1.0
2019-05-16 0.0 -1.0 0.0
2019-05-17 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2019-09-09 0.0 -1.0 0.0
2019-09-10 0.0 0.0 -1.0
2019-09-16 1.0 1.0 0.0
2019-09-17 1.0 0.0 1.0
2019-10-23 0.0 -1.0 0.0
2019-10-24 0.0 0.0 -1.0
2019-10-29 1.0 1.0 0.0
2019-10-30 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-22 1.0 1.0 0.0
2020-04-23 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_019_SlowMA_40_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1063.902 1055.79350 8.10850
2019-01-09 1087.99 1081.65 1069.296 1055.46900 13.82700
2019-05-03 1177.41 1189.55 1204.908 1211.84250 -6.93450
2019-05-06 1172.00 1193.46 1184.360 1212.92975 -28.56975
2019-07-08 1125.87 1116.79 1117.008 1110.62425 6.38375
2019-07-09 1110.32 1124.29 1121.866 1109.54050 12.32550
2019-10-04 1194.29 1210.96 1201.090 1202.64450 -1.55450
2019-10-07 1207.00 1208.25 1198.512 1203.12825 -4.61625
2019-10-14 1213.89 1217.77 1207.096 1206.91500 0.18100
2019-10-15 1221.50 1242.24 1217.518 1207.96000 9.55800
2020-02-26 1394.98 1390.47 1439.420 1449.46925 -10.04925
2020-02-27 1359.14 1314.95 1399.012 1448.85025 -49.83825
2020-04-16 1267.14 1257.43 1239.388 1225.14925 14.23875
2020-04-17 1281.70 1279.00 1253.874 1219.19950 34.67450
2020-06-30 1396.88 1418.05 1410.312 1412.05825 -1.74625
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-07-08 1.0 1.0 0.0
2019-07-09 1.0 0.0 1.0
2019-10-04 0.0 -1.0 0.0
2019-10-07 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
2020-06-30 0.0 -1.0 0.0
List the signal change and entry/exit points for SMA_020_SlowMA_40_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1059.355 1055.46900 3.88600
2019-01-10 1074.94 1078.83 1062.453 1055.51425 6.93875
2019-05-08 1177.29 1170.78 1211.240 1212.25800 -1.01800
2019-05-09 1162.60 1167.97 1201.303 1211.48075 -10.17775
2019-07-11 1146.16 1144.08 1115.375 1110.12900 5.24600
2019-07-12 1142.93 1145.34 1122.246 1109.49250 12.75350
2019-10-10 1198.60 1209.47 1204.165 1204.79125 -0.62625
2019-10-11 1224.03 1215.71 1203.141 1205.95100 -2.81000
2019-10-16 1241.81 1243.00 1212.936 1209.44675 3.48925
2019-10-17 1251.40 1252.80 1219.273 1210.97725 8.29575
2020-02-28 1274.31 1339.25 1441.434 1448.84675 -7.41275
2020-03-02 1351.39 1386.32 1428.193 1449.28775 -21.09475
2020-04-20 1269.89 1261.15 1230.984 1213.64175 17.34225
2020-04-21 1242.71 1212.16 1233.881 1208.44925 25.43175
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-08 0.0 -1.0 0.0
2019-05-09 0.0 0.0 -1.0
2019-07-11 1.0 1.0 0.0
2019-07-12 1.0 0.0 1.0
2019-10-10 0.0 -1.0 0.0
2019-10-11 0.0 0.0 -1.0
2019-10-16 1.0 1.0 0.0
2019-10-17 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-20 1.0 1.0 0.0
2020-04-21 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_021_SlowMA_40_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-15 1058.01 1086.51 1057.302667 1056.77875 0.523917
2019-01-16 1090.00 1089.51 1064.292000 1057.24025 7.051750
2019-05-13 1145.24 1136.59 1207.682667 1209.51575 -1.833083
2019-05-14 1142.32 1124.86 1197.967333 1207.92350 -9.956167
2019-07-11 1146.16 1144.08 1111.794667 1110.12900 1.665667
2019-07-12 1142.93 1145.34 1113.937333 1109.49250 4.444833
2020-03-03 1397.68 1337.72 1445.364000 1448.69275 -3.328750
2020-03-04 1358.96 1381.60 1436.800000 1448.28750 -11.487500
2020-04-22 1241.11 1258.41 1206.149333 1205.25150 0.897833
2020-04-23 1265.74 1271.17 1217.420667 1202.26900 15.151667
trade_signal signal_change entry_exit
date
2019-01-15 1.0 1.0 0.0
2019-01-16 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-11 1.0 1.0 0.0
2019-07-12 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-22 1.0 1.0 0.0
2020-04-23 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_022_SlowMA_40_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-22 1096.00 1078.63 1061.2675 1061.21300 0.05450
2019-01-23 1086.86 1084.41 1065.9255 1062.23750 3.68800
2019-05-16 1171.84 1184.50 1204.5315 1206.08375 -1.55225
2019-05-17 1175.83 1168.78 1200.8970 1204.40000 -3.50300
2019-07-12 1142.93 1145.34 1110.6100 1109.49250 1.11750
2019-07-15 1145.34 1150.51 1113.8205 1108.64275 5.17775
2020-03-05 1345.55 1314.76 1442.0280 1446.27875 -4.25075
2020-03-06 1269.95 1295.74 1433.0165 1443.54625 -10.52975
2020-04-24 1255.00 1276.60 1202.9265 1201.31025 1.61625
2020-04-27 1292.00 1270.86 1210.9565 1199.60050 11.35600
trade_signal signal_change entry_exit
date
2019-01-22 1.0 1.0 0.0
2019-01-23 1.0 0.0 1.0
2019-05-16 0.0 -1.0 0.0
2019-05-17 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-03-05 0.0 -1.0 0.0
2020-03-06 0.0 0.0 -1.0
2020-04-24 1.0 1.0 0.0
2020-04-27 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_023_SlowMA_45_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1063.902 1058.283333 5.618667
2019-01-09 1087.99 1081.65 1069.296 1058.187111 11.108889
2019-05-03 1177.41 1189.55 1204.908 1205.791556 -0.883556
2019-05-06 1172.00 1193.46 1184.360 1206.790222 -22.430222
2019-07-09 1110.32 1124.29 1121.866 1116.896222 4.969778
2019-07-10 1132.32 1140.91 1127.528 1115.728444 11.799556
2019-10-07 1207.00 1208.25 1198.512 1200.488000 -1.976000
2019-10-08 1198.77 1190.13 1195.338 1201.274222 -5.936222
2019-10-10 1198.60 1209.47 1204.242 1202.716000 1.526000
2019-10-11 1224.03 1215.71 1205.192 1202.927556 2.264444
2020-02-27 1359.14 1314.95 1399.012 1437.908667 -38.896667
2020-02-28 1274.31 1339.25 1370.170 1437.655778 -67.485778
2020-04-17 1281.70 1279.00 1253.874 1252.475556 1.398444
2020-04-20 1269.89 1261.15 1264.022 1246.870222 17.151778
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-07-09 1.0 1.0 0.0
2019-07-10 1.0 0.0 1.0
2019-10-07 0.0 -1.0 0.0
2019-10-08 0.0 0.0 -1.0
2019-10-10 1.0 1.0 0.0
2019-10-11 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-17 1.0 1.0 0.0
2020-04-20 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_024_SlowMA_45_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1059.355 1058.187111 1.167889
2019-01-10 1074.94 1078.83 1062.453 1058.350222 4.102778
2019-05-09 1162.60 1167.97 1201.303 1207.458222 -6.155222
2019-05-10 1168.84 1167.64 1190.325 1207.831333 -17.506333
2019-07-11 1146.16 1144.08 1115.375 1114.955556 0.419444
2019-07-12 1142.93 1145.34 1122.246 1114.390222 7.855778
2019-10-14 1213.89 1217.77 1202.804 1203.569111 -0.765111
2019-10-15 1221.50 1242.24 1206.428 1205.074444 1.353556
2019-10-16 1241.81 1243.00 1212.936 1206.102667 6.833333
2020-03-02 1351.39 1386.32 1428.193 1438.586667 -10.393667
2020-03-03 1397.68 1337.72 1410.021 1438.036667 -28.015667
2020-04-22 1241.11 1258.41 1241.466 1234.256889 7.209111
2020-04-23 1265.74 1271.17 1247.883 1228.619111 19.263889
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-07-11 1.0 1.0 0.0
2019-07-12 1.0 0.0 1.0
2019-10-14 0.0 -1.0 0.0
2019-10-15 1.0 1.0 -1.0
2019-10-16 1.0 0.0 1.0
2020-03-02 0.0 -1.0 0.0
2020-03-03 0.0 0.0 -1.0
2020-04-22 1.0 1.0 0.0
2020-04-23 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_025_SlowMA_45_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-16 1090.00 1089.51 1064.292000 1057.546444 6.745556
2019-01-17 1087.99 1099.12 1067.710000 1058.037556 9.672444
2019-05-14 1142.32 1124.86 1197.967333 1206.325111 -8.357778
2019-05-15 1122.55 1170.80 1192.017333 1205.737333 -13.720000
2019-07-15 1145.34 1150.51 1115.613333 1114.002222 1.611111
2019-07-16 1146.73 1153.46 1118.064000 1113.687111 4.376889
2020-03-04 1358.96 1381.60 1436.800000 1438.635778 -1.835778
2020-03-05 1345.55 1314.76 1423.208667 1438.081333 -14.872667
2020-04-24 1255.00 1276.60 1228.058667 1223.277111 4.781556
2020-04-27 1292.00 1270.86 1239.936000 1218.552667 21.383333
trade_signal signal_change entry_exit
date
2019-01-16 1.0 1.0 0.0
2019-01-17 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-07-15 1.0 1.0 0.0
2019-07-16 1.0 0.0 1.0
2020-03-04 0.0 -1.0 0.0
2020-03-05 0.0 0.0 -1.0
2020-04-24 1.0 1.0 0.0
2020-04-27 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_026_SlowMA_45_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-22 1096.00 1078.63 1061.2675 1060.006444 1.261056
2019-01-23 1086.86 1084.41 1065.9255 1060.669333 5.256167
2019-05-16 1171.84 1184.50 1204.5315 1205.413778 -0.882278
2019-05-17 1175.83 1168.78 1200.8970 1204.886000 -3.989000
2019-07-16 1146.73 1153.46 1116.7990 1113.687111 3.111889
2019-07-17 1150.92 1146.74 1118.8740 1113.912667 4.961333
2020-03-06 1269.95 1295.74 1433.0165 1437.111333 -4.094833
2020-03-09 1204.96 1215.79 1419.8505 1433.713778 -13.863278
2020-04-28 1283.20 1232.59 1215.2705 1214.391111 0.879389
2020-04-29 1345.00 1342.18 1224.2820 1213.410222 10.871778
trade_signal signal_change entry_exit
date
2019-01-22 1.0 1.0 0.0
2019-01-23 1.0 0.0 1.0
2019-05-16 0.0 -1.0 0.0
2019-05-17 0.0 0.0 -1.0
2019-07-16 1.0 1.0 0.0
2019-07-17 1.0 0.0 1.0
2020-03-06 0.0 -1.0 0.0
2020-03-09 0.0 0.0 -1.0
2020-04-28 1.0 1.0 0.0
2020-04-29 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_027_SlowMA_50_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1063.902 1059.6982 4.2038
2019-01-09 1087.99 1081.65 1069.296 1059.2594 10.0366
2019-05-06 1172.00 1193.46 1184.360 1198.8572 -14.4972
2019-05-07 1185.81 1178.86 1180.340 1200.0878 -19.7478
2019-07-10 1132.32 1140.91 1127.528 1122.5916 4.9364
2019-07-11 1146.16 1144.08 1131.746 1121.4940 10.2520
2019-10-04 1194.29 1210.96 1201.090 1203.1014 -2.0114
2019-10-07 1207.00 1208.25 1198.512 1202.3620 -3.8500
2019-10-10 1198.60 1209.47 1204.242 1200.6412 3.6008
2019-10-11 1224.03 1215.71 1205.192 1200.7198 4.4722
2020-02-27 1359.14 1314.95 1399.012 1429.6210 -30.6090
2020-02-28 1274.31 1339.25 1370.170 1429.1920 -59.0220
2020-04-24 1255.00 1276.60 1255.898 1252.8178 3.0802
2020-04-27 1292.00 1270.86 1257.840 1247.9672 9.8728
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-06 0.0 -1.0 0.0
2019-05-07 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2019-10-04 0.0 -1.0 0.0
2019-10-07 0.0 0.0 -1.0
2019-10-10 1.0 1.0 0.0
2019-10-11 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-24 1.0 1.0 0.0
2020-04-27 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_028_SlowMA_50_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1059.355 1059.2594 0.0956
2019-01-10 1074.94 1078.83 1062.453 1059.1610 3.2920
2019-05-09 1162.60 1167.97 1201.303 1201.9648 -0.6618
2019-05-10 1168.84 1167.64 1190.325 1202.7866 -12.4616
2019-07-12 1142.93 1145.34 1122.246 1120.9344 1.3116
2019-07-15 1145.34 1150.51 1129.017 1120.6144 8.4026
2020-03-02 1351.39 1386.32 1428.193 1429.8206 -1.6276
2020-03-03 1397.68 1337.72 1410.021 1429.5368 -19.5158
2020-04-24 1255.00 1276.60 1254.886 1252.8178 2.0682
2020-04-27 1292.00 1270.86 1260.931 1247.9672 12.9638
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-03-02 0.0 -1.0 0.0
2020-03-03 0.0 0.0 -1.0
2020-04-24 1.0 1.0 0.0
2020-04-27 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_029_SlowMA_50_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-16 1090.00 1089.51 1064.292000 1059.7850 4.507000
2019-01-17 1087.99 1099.12 1067.710000 1060.3376 7.372400
2019-05-14 1142.32 1124.86 1197.967333 1201.9768 -4.009467
2019-05-15 1122.55 1170.80 1192.017333 1202.0090 -9.991667
2019-07-17 1150.92 1146.74 1122.008000 1118.9582 3.049800
2019-07-18 1142.00 1147.24 1126.469333 1118.3258 8.143533
2020-03-05 1345.55 1314.76 1423.208667 1429.3108 -6.102133
2020-03-06 1269.95 1295.74 1408.698667 1428.2130 -19.514333
2020-04-28 1283.20 1232.59 1243.229333 1242.2444 0.984933
2020-04-29 1345.00 1342.18 1253.870667 1238.6992 15.171467
trade_signal signal_change entry_exit
date
2019-01-16 1.0 1.0 0.0
2019-01-17 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-07-17 1.0 1.0 0.0
2019-07-18 1.0 0.0 1.0
2020-03-05 0.0 -1.0 0.0
2020-03-06 0.0 0.0 -1.0
2020-04-28 1.0 1.0 0.0
2020-04-29 1.0 0.0 1.0
List the signal change and entry/exit points for SMA_030_SlowMA_50_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-23 1086.86 1084.41 1065.9255 1061.0736 4.8519
2019-01-24 1082.51 1084.00 1070.8920 1060.8610 10.0310
2019-05-17 1175.83 1168.78 1200.8970 1202.7588 -1.8618
2019-05-20 1153.00 1144.66 1195.4420 1202.6526 -7.2106
2019-07-18 1142.00 1147.24 1121.0105 1118.3258 2.6847
2019-07-19 1149.32 1131.55 1121.9280 1117.5412 4.3868
2020-03-09 1204.96 1215.79 1419.8505 1425.6402 -5.7897
2020-03-10 1254.39 1275.17 1408.1760 1423.8942 -15.7182
2020-04-30 1331.36 1346.70 1236.5120 1235.1358 1.3762
2020-05-01 1324.09 1317.32 1246.5265 1231.1424 15.3841
trade_signal signal_change entry_exit
date
2019-01-23 1.0 1.0 0.0
2019-01-24 1.0 0.0 1.0
2019-05-17 0.0 -1.0 0.0
2019-05-20 0.0 0.0 -1.0
2019-07-18 1.0 1.0 0.0
2019-07-19 1.0 0.0 1.0
2020-03-09 0.0 -1.0 0.0
2020-03-10 0.0 0.0 -1.0
2020-04-30 1.0 1.0 0.0
2020-05-01 1.0 0.0 1.0
In [17]:
if verbose:
for key in model_collection:
graph_data = model_collection[key].copy()
title_string = "Simple Moving Average Crossover Model for " + key
fig = plt.figure(figsize=(16,9))
ylabel = stock_symbol + ' price in $'
ax1 = fig.add_subplot(111, ylabel=ylabel, title=title_string)
graph_data['fast_ma'].plot(ax=ax1, color='b', lw=2.)
graph_data['slow_ma'].plot(ax=ax1, color='r', lw=2.)
graph_data['close_price'].plot(ax=ax1, color='g')
ax1.plot(graph_data.loc[graph_data.entry_exit == 1].index, graph_data.close_price[graph_data.entry_exit == 1], '^', markersize=7, color='k',label='buy')
ax1.plot(graph_data.loc[graph_data.entry_exit == -1].index, graph_data.close_price[graph_data.entry_exit == -1], 'v', markersize=7, color='k',label='sell')
plt.legend(loc='upper left')
plt.show()
Task 4. Back-test Model¶
In [18]:
def trading_portfolio_generation(initial_fund, trading_model):
# Construct a portfolio to track the transactions and returns
portfolio = pd.DataFrame(index=trading_model.index, columns=['trade_action', 'qty_onhand', 'cost_basis', 'sold_transaction', 'gain_loss', 'cash_onhand', 'position_value', 'total_position', 'accumu_return'])
portfolio.iloc[0]['trade_action'] = 0
portfolio.iloc[0]['qty_onhand'] = 0
portfolio.iloc[0]['cost_basis'] = 0.00
portfolio.iloc[0]['sold_transaction'] = 0.00
portfolio.iloc[0]['gain_loss'] = 0.00
portfolio.iloc[0]['cash_onhand'] = initial_capital
portfolio.iloc[0]['position_value'] = 0.00
portfolio.iloc[0]['total_position'] = initial_capital
portfolio.iloc[0]['accumu_return'] = portfolio.iloc[0]['total_position'] - initial_fund
recent_cost = 0
# The conditional parameters below determine how the trading strategy will be carried out
for i in range(1, len(portfolio)):
if (trading_model.iloc[i]['entry_exit'] == 1) and (portfolio.iloc[i-1]['qty_onhand'] == 0):
portfolio.iloc[i]['trade_action'] = 1
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand'] + portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['cost_basis'] = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['sold_transaction'] = 0.00
portfolio.iloc[i]['gain_loss'] = 0.00
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand'] - portfolio.iloc[i]['cost_basis']
recent_cost = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action']
if verbose: print('BOUGHT QTY:', portfolio.iloc[i]['trade_action'], 'on', portfolio.index[i], 'at the price of', trading_model.iloc[i]['open_price'])
elif (trading_model.iloc[i]['entry_exit'] == -1) and (portfolio.iloc[i-1]['qty_onhand'] > 0):
portfolio.iloc[i]['trade_action'] = -1
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand'] + portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['cost_basis'] = 0.00
portfolio.iloc[i]['sold_transaction'] = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action'] * -1
portfolio.iloc[i]['gain_loss'] = (recent_cost + (trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action'])) * -1
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand'] + portfolio.iloc[i]['sold_transaction']
recent_cost = 0.00
if verbose: print('SOLD QTY:', portfolio.iloc[i]['trade_action'], 'on', portfolio.index[i], 'at the price of', trading_model.iloc[i]['open_price'])
else:
portfolio.iloc[i]['trade_action'] = 0
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand']
portfolio.iloc[i]['cost_basis'] = portfolio.iloc[i-1]['cost_basis']
portfolio.iloc[i]['sold_transaction'] = 0.00
portfolio.iloc[i]['gain_loss'] = 0.00
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand']
portfolio.iloc[i]['position_value'] = trading_model.iloc[i]['close_price'] * portfolio.iloc[i]['qty_onhand']
portfolio.iloc[i]['total_position'] = portfolio.iloc[i]['cash_onhand'] + portfolio.iloc[i]['position_value']
portfolio.iloc[i]['accumu_return'] = portfolio.iloc[i]['total_position'] - initial_fund
return portfolio
In [19]:
portfolio_collection = {}
# Build dataframe for reporting model performance summary
performance_summary = pd.DataFrame(columns=['model_name','return_value','return_percent'])
for key in model_collection:
print('Processing portfolio for model:', key)
portfolio_collection[key] = trading_portfolio_generation(initial_capital, model_collection[key])
trade_transactions = portfolio_collection[key][portfolio_collection[key].trade_action != 0]
print(trade_transactions)
print('Accumulated profit/loss for one share of stock with initial capital of $%.0f at the end of modeling period: $%.2f' % (initial_capital, portfolio_collection[key].accumu_return[-1]))
if initial_capital != 0:
return_percentage = portfolio_collection[key].accumu_return[-1] / initial_capital * 100
print('Accumulated return percentage based on the initial capital investment: %.2f%%' % (return_percentage))
else:
return_percentage = None
if trade_transactions.iloc[-1]['trade_action'] == 1:
print('The current status of the model is:', 'Holding a position since', trade_transactions.index.tolist()[-1], '\n')
else:
print('The current status of the model is:', 'Waiting to enter since', trade_transactions.index.tolist()[-1], '\n')
performance_summary = performance_summary.append({'model_name': key, 'return_value': portfolio_collection[key].accumu_return[-1],
'return_percent': return_percentage}, ignore_index=True)
Processing portfolio for model: SMA_001_SlowMA_10_FastMA_05
BOUGHT QTY: 1 on 2019-01-22 00:00:00 at the price of 1096.0
SOLD QTY: -1 on 2019-01-29 00:00:00 at the price of 1081.04
BOUGHT QTY: 1 on 2019-02-01 00:00:00 at the price of 1122.29
SOLD QTY: -1 on 2019-02-13 00:00:00 at the price of 1133.04
BOUGHT QTY: 1 on 2019-02-20 00:00:00 at the price of 1128.88
SOLD QTY: -1 on 2019-02-25 00:00:00 at the price of 1121.93
BOUGHT QTY: 1 on 2019-03-01 00:00:00 at the price of 1131.0
SOLD QTY: -1 on 2019-03-29 00:00:00 at the price of 1180.18
BOUGHT QTY: 1 on 2019-04-05 00:00:00 at the price of 1219.3
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-05-22 00:00:00 at the price of 1151.25
SOLD QTY: -1 on 2019-05-24 00:00:00 at the price of 1152.0
BOUGHT QTY: 1 on 2019-06-14 00:00:00 at the price of 1089.74
SOLD QTY: -1 on 2019-06-28 00:00:00 at the price of 1077.23
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-07-24 00:00:00 at the price of 1132.62
BOUGHT QTY: 1 on 2019-07-29 00:00:00 at the price of 1242.5
SOLD QTY: -1 on 2019-08-07 00:00:00 at the price of 1157.8
BOUGHT QTY: 1 on 2019-08-15 00:00:00 at the price of 1168.43
SOLD QTY: -1 on 2019-08-16 00:00:00 at the price of 1180.79
BOUGHT QTY: 1 on 2019-08-23 00:00:00 at the price of 1185.17
SOLD QTY: -1 on 2019-08-27 00:00:00 at the price of 1183.0
BOUGHT QTY: 1 on 2019-09-04 00:00:00 at the price of 1179.45
SOLD QTY: -1 on 2019-09-25 00:00:00 at the price of 1216.01
BOUGHT QTY: 1 on 2019-09-30 00:00:00 at the price of 1220.6
SOLD QTY: -1 on 2019-10-01 00:00:00 at the price of 1222.49
BOUGHT QTY: 1 on 2019-10-11 00:00:00 at the price of 1224.03
SOLD QTY: -1 on 2019-11-25 00:00:00 at the price of 1296.26
BOUGHT QTY: 1 on 2019-12-05 00:00:00 at the price of 1327.0
SOLD QTY: -1 on 2019-12-26 00:00:00 at the price of 1346.55
BOUGHT QTY: 1 on 2019-12-27 00:00:00 at the price of 1364.0
SOLD QTY: -1 on 2019-12-30 00:00:00 at the price of 1356.81
BOUGHT QTY: 1 on 2020-01-03 00:00:00 at the price of 1348.0
SOLD QTY: -1 on 2020-01-06 00:00:00 at the price of 1351.63
BOUGHT QTY: 1 on 2020-01-07 00:00:00 at the price of 1400.46
SOLD QTY: -1 on 2020-01-30 00:00:00 at the price of 1438.1
BOUGHT QTY: 1 on 2020-02-07 00:00:00 at the price of 1467.38
SOLD QTY: -1 on 2020-02-25 00:00:00 at the price of 1431.0
BOUGHT QTY: 1 on 2020-03-30 00:00:00 at the price of 1132.64
SOLD QTY: -1 on 2020-04-08 00:00:00 at the price of 1203.1
BOUGHT QTY: 1 on 2020-04-09 00:00:00 at the price of 1218.18
SOLD QTY: -1 on 2020-04-28 00:00:00 at the price of 1283.2
BOUGHT QTY: 1 on 2020-04-29 00:00:00 at the price of 1345.0
SOLD QTY: -1 on 2020-05-19 00:00:00 at the price of 1385.48
BOUGHT QTY: 1 on 2020-05-21 00:00:00 at the price of 1410.99
SOLD QTY: -1 on 2020-06-16 00:00:00 at the price of 1449.0
BOUGHT QTY: 1 on 2020-06-23 00:00:00 at the price of 1452.0
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-22 1 1 1096 0 0
2019-01-29 -1 0 0 1081.04 -14.96
2019-02-01 1 1 1122.29 0 0
2019-02-13 -1 0 0 1133.04 10.75
2019-02-20 1 1 1128.88 0 0
2019-02-25 -1 0 0 1121.93 -6.95
2019-03-01 1 1 1131 0 0
2019-03-29 -1 0 0 1180.18 49.18
2019-04-05 1 1 1219.3 0 0
2019-05-02 -1 0 0 1172.6 -46.7
2019-05-22 1 1 1151.25 0 0
2019-05-24 -1 0 0 1152 0.75
2019-06-14 1 1 1089.74 0 0
2019-06-28 -1 0 0 1077.23 -12.51
2019-07-08 1 1 1125.87 0 0
2019-07-24 -1 0 0 1132.62 6.75
2019-07-29 1 1 1242.5 0 0
2019-08-07 -1 0 0 1157.8 -84.7
2019-08-15 1 1 1168.43 0 0
2019-08-16 -1 0 0 1180.79 12.36
2019-08-23 1 1 1185.17 0 0
2019-08-27 -1 0 0 1183 -2.17
2019-09-04 1 1 1179.45 0 0
2019-09-25 -1 0 0 1216.01 36.56
2019-09-30 1 1 1220.6 0 0
2019-10-01 -1 0 0 1222.49 1.89
2019-10-11 1 1 1224.03 0 0
2019-11-25 -1 0 0 1296.26 72.23
2019-12-05 1 1 1327 0 0
2019-12-26 -1 0 0 1346.55 19.55
2019-12-27 1 1 1364 0 0
2019-12-30 -1 0 0 1356.81 -7.19
2020-01-03 1 1 1348 0 0
2020-01-06 -1 0 0 1351.63 3.63
2020-01-07 1 1 1400.46 0 0
2020-01-30 -1 0 0 1438.1 37.64
2020-02-07 1 1 1467.38 0 0
2020-02-25 -1 0 0 1431 -36.38
2020-03-30 1 1 1132.64 0 0
2020-04-08 -1 0 0 1203.1 70.46
2020-04-09 1 1 1218.18 0 0
2020-04-28 -1 0 0 1283.2 65.02
2020-04-29 1 1 1345 0 0
2020-05-19 -1 0 0 1385.48 40.48
2020-05-21 1 1 1410.99 0 0
2020-06-16 -1 0 0 1449 38.01
2020-06-23 1 1 1452 0 0
2020-06-29 -1 0 0 1360.34 -91.66
cash_onhand position_value total_position accumu_return
date
2019-01-22 -1096 1078.63 -17.37 -17.37
2019-01-29 -14.96 0 -14.96 -14.96
2019-02-01 -1137.25 1118.62 -18.63 -18.63
2019-02-13 -4.21 0 -4.21 -4.21
2019-02-20 -1133.09 1120.59 -12.5 -12.5
2019-02-25 -11.16 0 -11.16 -11.16
2019-03-01 -1142.16 1148.52 6.36 6.36
2019-03-29 38.02 0 38.02 38.02
2019-04-05 -1181.28 1211.45 30.17 30.17
2019-05-02 -8.68 0 -8.68 -8.68
2019-05-22 -1159.93 1155.85 -4.08 -4.08
2019-05-24 -7.93 0 -7.93 -7.93
2019-06-14 -1097.67 1086.3 -11.37 -11.37
2019-06-28 -20.44 0 -20.44 -20.44
2019-07-08 -1146.31 1116.79 -29.52 -29.52
2019-07-24 -13.69 0 -13.69 -13.69
2019-07-29 -1256.19 1241.84 -14.35 -14.35
2019-08-07 -98.39 0 -98.39 -98.39
2019-08-15 -1266.82 1169.32 -97.5 -97.5
2019-08-16 -86.03 0 -86.03 -86.03
2019-08-23 -1271.2 1153.58 -117.62 -117.62
2019-08-27 -88.2 0 -88.2 -88.2
2019-09-04 -1267.65 1182.27 -85.38 -85.38
2019-09-25 -51.64 0 -51.64 -51.64
2019-09-30 -1272.24 1221.14 -51.1 -51.1
2019-10-01 -49.75 0 -49.75 -49.75
2019-10-11 -1273.78 1215.71 -58.07 -58.07
2019-11-25 22.48 0 22.48 22.48
2019-12-05 -1304.52 1326.96 22.44 22.44
2019-12-26 42.03 0 42.03 42.03
2019-12-27 -1321.97 1354.64 32.67 32.67
2019-12-30 34.84 0 34.84 34.84
2020-01-03 -1313.16 1361.52 48.36 48.36
2020-01-06 38.47 0 38.47 38.47
2020-01-07 -1361.99 1395.11 33.12 33.12
2020-01-30 76.11 0 76.11 76.11
2020-02-07 -1391.27 1479.11 87.84 87.84
2020-02-25 39.73 0 39.73 39.73
2020-03-30 -1092.91 1146.31 53.4 53.4
2020-04-08 110.19 0 110.19 110.19
2020-04-09 -1107.99 1206.57 98.58 98.58
2020-04-28 175.21 0 175.21 175.21
2020-04-29 -1169.79 1342.18 172.39 172.39
2020-05-19 215.69 0 215.69 215.69
2020-05-21 -1195.3 1406.75 211.45 211.45
2020-06-16 253.7 0 253.7 253.7
2020-06-23 -1198.3 1463.98 265.68 265.68
2020-06-29 162.04 0 162.04 162.04
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $162.04
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: SMA_002_SlowMA_15_FastMA_05
BOUGHT QTY: 1 on 2019-03-01 00:00:00 at the price of 1131.0
SOLD QTY: -1 on 2019-03-29 00:00:00 at the price of 1180.18
BOUGHT QTY: 1 on 2019-04-05 00:00:00 at the price of 1219.3
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-06-18 00:00:00 at the price of 1111.5
SOLD QTY: -1 on 2019-07-01 00:00:00 at the price of 1101.04
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-07-26 00:00:00 at the price of 1228.0
BOUGHT QTY: 1 on 2019-07-29 00:00:00 at the price of 1242.5
SOLD QTY: -1 on 2019-08-09 00:00:00 at the price of 1199.99
BOUGHT QTY: 1 on 2019-08-22 00:00:00 at the price of 1193.8
SOLD QTY: -1 on 2019-08-27 00:00:00 at the price of 1183.0
BOUGHT QTY: 1 on 2019-09-05 00:00:00 at the price of 1193.66
SOLD QTY: -1 on 2019-10-02 00:00:00 at the price of 1196.5
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 1241.81
SOLD QTY: -1 on 2019-11-26 00:00:00 at the price of 1309.91
BOUGHT QTY: 1 on 2019-12-09 00:00:00 at the price of 1338.86
SOLD QTY: -1 on 2020-01-02 00:00:00 at the price of 1348.41
BOUGHT QTY: 1 on 2020-01-03 00:00:00 at the price of 1348.0
SOLD QTY: -1 on 2020-01-06 00:00:00 at the price of 1351.63
BOUGHT QTY: 1 on 2020-01-07 00:00:00 at the price of 1400.46
SOLD QTY: -1 on 2020-01-31 00:00:00 at the price of 1467.86
BOUGHT QTY: 1 on 2020-02-10 00:00:00 at the price of 1477.23
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 1124.0
SOLD QTY: -1 on 2020-06-16 00:00:00 at the price of 1449.0
BOUGHT QTY: 1 on 2020-06-22 00:00:00 at the price of 1425.01
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-03-01 1 1 1131 0 0
2019-03-29 -1 0 0 1180.18 49.18
2019-04-05 1 1 1219.3 0 0
2019-05-03 -1 0 0 1177.41 -41.89
2019-06-18 1 1 1111.5 0 0
2019-07-01 -1 0 0 1101.04 -10.46
2019-07-08 1 1 1125.87 0 0
2019-07-26 -1 0 0 1228 102.13
2019-07-29 1 1 1242.5 0 0
2019-08-09 -1 0 0 1199.99 -42.51
2019-08-22 1 1 1193.8 0 0
2019-08-27 -1 0 0 1183 -10.8
2019-09-05 1 1 1193.66 0 0
2019-10-02 -1 0 0 1196.5 2.84
2019-10-16 1 1 1241.81 0 0
2019-11-26 -1 0 0 1309.91 68.1
2019-12-09 1 1 1338.86 0 0
2020-01-02 -1 0 0 1348.41 9.55
2020-01-03 1 1 1348 0 0
2020-01-06 -1 0 0 1351.63 3.63
2020-01-07 1 1 1400.46 0 0
2020-01-31 -1 0 0 1467.86 67.4
2020-02-10 1 1 1477.23 0 0
2020-02-26 -1 0 0 1394.98 -82.25
2020-04-01 1 1 1124 0 0
2020-06-16 -1 0 0 1449 325
2020-06-22 1 1 1425.01 0 0
2020-06-29 -1 0 0 1360.34 -64.67
cash_onhand position_value total_position accumu_return
date
2019-03-01 -1131 1148.52 17.52 17.52
2019-03-29 49.18 0 49.18 49.18
2019-04-05 -1170.12 1211.45 41.33 41.33
2019-05-03 7.29 0 7.29 7.29
2019-06-18 -1104.21 1105.24 1.03 1.03
2019-07-01 -3.17 0 -3.17 -3.17
2019-07-08 -1129.04 1116.79 -12.25 -12.25
2019-07-26 98.96 0 98.96 98.96
2019-07-29 -1143.54 1241.84 98.3 98.3
2019-08-09 56.45 0 56.45 56.45
2019-08-22 -1137.35 1191.52 54.17 54.17
2019-08-27 45.65 0 45.65 45.65
2019-09-05 -1148.01 1212.19 64.18 64.18
2019-10-02 48.49 0 48.49 48.49
2019-10-16 -1193.32 1243 49.68 49.68
2019-11-26 116.59 0 116.59 116.59
2019-12-09 -1222.27 1342.99 120.72 120.72
2020-01-02 126.14 0 126.14 126.14
2020-01-03 -1221.86 1361.52 139.66 139.66
2020-01-06 129.77 0 129.77 129.77
2020-01-07 -1270.69 1395.11 124.42 124.42
2020-01-31 197.17 0 197.17 197.17
2020-02-10 -1280.06 1508.66 228.6 228.6
2020-02-26 114.92 0 114.92 114.92
2020-04-01 -1009.08 1102.1 93.02 93.02
2020-06-16 439.92 0 439.92 439.92
2020-06-22 -985.09 1450.66 465.57 465.57
2020-06-29 375.25 0 375.25 375.25
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $375.25
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: SMA_003_SlowMA_15_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-02-21 00:00:00 at the price of 1118.78
BOUGHT QTY: 1 on 2019-02-27 00:00:00 at the price of 1114.01
SOLD QTY: -1 on 2019-04-04 00:00:00 at the price of 1211.29
BOUGHT QTY: 1 on 2019-04-12 00:00:00 at the price of 1215.62
SOLD QTY: -1 on 2019-05-07 00:00:00 at the price of 1185.81
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 1121.7
SOLD QTY: -1 on 2019-07-09 00:00:00 at the price of 1110.32
BOUGHT QTY: 1 on 2019-07-12 00:00:00 at the price of 1142.93
SOLD QTY: -1 on 2019-08-14 00:00:00 at the price of 1176.07
BOUGHT QTY: 1 on 2019-08-22 00:00:00 at the price of 1193.8
SOLD QTY: -1 on 2019-08-27 00:00:00 at the price of 1183.0
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-10 00:00:00 at the price of 1196.09
SOLD QTY: -1 on 2019-10-02 00:00:00 at the price of 1196.5
BOUGHT QTY: 1 on 2019-10-18 00:00:00 at the price of 1254.69
SOLD QTY: -1 on 2019-12-03 00:00:00 at the price of 1278.66
BOUGHT QTY: 1 on 2019-12-10 00:00:00 at the price of 1339.94
SOLD QTY: -1 on 2020-02-06 00:00:00 at the price of 1451.98
BOUGHT QTY: 1 on 2020-02-12 00:00:00 at the price of 1515.86
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-06 00:00:00 at the price of 1133.0
SOLD QTY: -1 on 2020-06-23 00:00:00 at the price of 1452.0
BOUGHT QTY: 1 on 2020-06-30 00:00:00 at the price of 1396.88
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-02-21 -1 0 0 1118.78 32.78
2019-02-27 1 1 1114.01 0 0
2019-04-04 -1 0 0 1211.29 97.28
2019-04-12 1 1 1215.62 0 0
2019-05-07 -1 0 0 1185.81 -29.81
2019-06-20 1 1 1121.7 0 0
2019-07-09 -1 0 0 1110.32 -11.38
2019-07-12 1 1 1142.93 0 0
2019-08-14 -1 0 0 1176.07 33.14
2019-08-22 1 1 1193.8 0 0
2019-08-27 -1 0 0 1183 -10.8
2019-08-30 1 1 1200.35 0 0
2019-09-04 -1 0 0 1179.45 -20.9
2019-09-10 1 1 1196.09 0 0
2019-10-02 -1 0 0 1196.5 0.41
2019-10-18 1 1 1254.69 0 0
2019-12-03 -1 0 0 1278.66 23.97
2019-12-10 1 1 1339.94 0 0
2020-02-06 -1 0 0 1451.98 112.04
2020-02-12 1 1 1515.86 0 0
2020-02-27 -1 0 0 1359.14 -156.72
2020-04-06 1 1 1133 0 0
2020-06-23 -1 0 0 1452 319
2020-06-30 1 1 1396.88 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-02-21 32.78 0 32.78 32.78
2019-02-27 -1081.23 1122.89 41.66 41.66
2019-04-04 130.06 0 130.06 130.06
2019-04-12 -1085.56 1222.73 137.17 137.17
2019-05-07 100.25 0 100.25 100.25
2019-06-20 -1021.45 1113.2 91.75 91.75
2019-07-09 88.87 0 88.87 88.87
2019-07-12 -1054.06 1145.34 91.28 91.28
2019-08-14 122.01 0 122.01 122.01
2019-08-22 -1071.79 1191.52 119.73 119.73
2019-08-27 111.21 0 111.21 111.21
2019-08-30 -1089.14 1190.53 101.39 101.39
2019-09-04 90.31 0 90.31 90.31
2019-09-10 -1105.78 1205.7 99.92 99.92
2019-10-02 90.72 0 90.72 90.72
2019-10-18 -1163.97 1244.41 80.44 80.44
2019-12-03 114.69 0 114.69 114.69
2019-12-10 -1225.25 1342.89 117.64 117.64
2020-02-06 226.73 0 226.73 226.73
2020-02-12 -1289.13 1518.63 229.5 229.5
2020-02-27 70.01 0 70.01 70.01
2020-04-06 -1062.99 1183.19 120.2 120.2
2020-06-23 389.01 0 389.01 389.01
2020-06-30 -1007.87 1418.05 410.18 410.18
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $410.18
The current status of the model is: Holding a position since 2020-06-30 00:00:00
Processing portfolio for model: SMA_004_SlowMA_20_FastMA_05
BOUGHT QTY: 1 on 2019-03-04 00:00:00 at the price of 1154.56
SOLD QTY: -1 on 2019-04-01 00:00:00 at the price of 1187.54
BOUGHT QTY: 1 on 2019-04-04 00:00:00 at the price of 1211.29
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 1121.7
SOLD QTY: -1 on 2019-07-02 00:00:00 at the price of 1104.83
BOUGHT QTY: 1 on 2019-07-03 00:00:00 at the price of 1118.5
SOLD QTY: -1 on 2019-08-16 00:00:00 at the price of 1180.79
BOUGHT QTY: 1 on 2019-09-03 00:00:00 at the price of 1181.85
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-05 00:00:00 at the price of 1193.66
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-17 00:00:00 at the price of 1251.4
SOLD QTY: -1 on 2019-12-04 00:00:00 at the price of 1306.1
BOUGHT QTY: 1 on 2019-12-09 00:00:00 at the price of 1338.86
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-08 00:00:00 at the price of 1203.1
SOLD QTY: -1 on 2020-06-18 00:00:00 at the price of 1449.85
BOUGHT QTY: 1 on 2020-06-19 00:00:00 at the price of 1440.0
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-03-04 1 1 1154.56 0 0
2019-04-01 -1 0 0 1187.54 32.98
2019-04-04 1 1 1211.29 0 0
2019-05-03 -1 0 0 1177.41 -33.88
2019-06-20 1 1 1121.7 0 0
2019-07-02 -1 0 0 1104.83 -16.87
2019-07-03 1 1 1118.5 0 0
2019-08-16 -1 0 0 1180.79 62.29
2019-09-03 1 1 1181.85 0 0
2019-09-04 -1 0 0 1179.45 -2.4
2019-09-05 1 1 1193.66 0 0
2019-10-03 -1 0 0 1183.34 -10.32
2019-10-17 1 1 1251.4 0 0
2019-12-04 -1 0 0 1306.1 54.7
2019-12-09 1 1 1338.86 0 0
2020-02-26 -1 0 0 1394.98 56.12
2020-04-08 1 1 1203.1 0 0
2020-06-18 -1 0 0 1449.85 246.75
2020-06-19 1 1 1440 0 0
2020-06-29 -1 0 0 1360.34 -79.66
cash_onhand position_value total_position accumu_return
date
2019-03-04 -1154.56 1153.42 -1.14 -1.14
2019-04-01 32.98 0 32.98 32.98
2019-04-04 -1178.31 1219.45 41.14 41.14
2019-05-03 -0.9 0 -0.9 -0.9
2019-06-20 -1122.6 1113.2 -9.4 -9.4
2019-07-02 -17.77 0 -17.77 -17.77
2019-07-03 -1136.27 1122.99 -13.28 -13.28
2019-08-16 44.52 0 44.52 44.52
2019-09-03 -1137.33 1169.55 32.22 32.22
2019-09-04 42.12 0 42.12 42.12
2019-09-05 -1151.54 1212.19 60.65 60.65
2019-10-03 31.8 0 31.8 31.8
2019-10-17 -1219.6 1252.8 33.2 33.2
2019-12-04 86.5 0 86.5 86.5
2019-12-09 -1252.36 1342.99 90.63 90.63
2020-02-26 142.62 0 142.62 142.62
2020-04-08 -1060.48 1207 146.52 146.52
2020-06-18 389.37 0 389.37 389.37
2020-06-19 -1050.63 1424.64 374.01 374.01
2020-06-29 309.71 0 309.71 309.71
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $309.71
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: SMA_005_SlowMA_20_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-03-01 00:00:00 at the price of 1131.0
BOUGHT QTY: 1 on 2019-03-05 00:00:00 at the price of 1156.0
SOLD QTY: -1 on 2019-04-05 00:00:00 at the price of 1219.3
BOUGHT QTY: 1 on 2019-04-11 00:00:00 at the price of 1208.9
SOLD QTY: -1 on 2019-05-08 00:00:00 at the price of 1177.29
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 1120.0
SOLD QTY: -1 on 2019-08-16 00:00:00 at the price of 1180.79
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-10 00:00:00 at the price of 1196.09
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-18 00:00:00 at the price of 1254.69
SOLD QTY: -1 on 2019-12-04 00:00:00 at the price of 1306.1
BOUGHT QTY: 1 on 2019-12-09 00:00:00 at the price of 1338.86
SOLD QTY: -1 on 2020-02-10 00:00:00 at the price of 1477.23
BOUGHT QTY: 1 on 2020-02-11 00:00:00 at the price of 1513.27
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-08 00:00:00 at the price of 1203.1
SOLD QTY: -1 on 2020-06-25 00:00:00 at the price of 1431.22
BOUGHT QTY: 1 on 2020-06-26 00:00:00 at the price of 1432.63
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-03-01 -1 0 0 1131 43.01
2019-03-05 1 1 1156 0 0
2019-04-05 -1 0 0 1219.3 63.3
2019-04-11 1 1 1208.9 0 0
2019-05-08 -1 0 0 1177.29 -31.61
2019-06-24 1 1 1120 0 0
2019-08-16 -1 0 0 1180.79 60.79
2019-08-30 1 1 1200.35 0 0
2019-09-04 -1 0 0 1179.45 -20.9
2019-09-10 1 1 1196.09 0 0
2019-10-04 -1 0 0 1194.29 -1.8
2019-10-18 1 1 1254.69 0 0
2019-12-04 -1 0 0 1306.1 51.41
2019-12-09 1 1 1338.86 0 0
2020-02-10 -1 0 0 1477.23 138.37
2020-02-11 1 1 1513.27 0 0
2020-02-28 -1 0 0 1274.31 -238.96
2020-04-08 1 1 1203.1 0 0
2020-06-25 -1 0 0 1431.22 228.12
2020-06-26 1 1 1432.63 0 0
2020-06-29 -1 0 0 1360.34 -72.29
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-03-01 43.01 0 43.01 43.01
2019-03-05 -1112.99 1169.19 56.2 56.2
2019-04-05 106.31 0 106.31 106.31
2019-04-11 -1102.59 1209.59 107 107
2019-05-08 74.7 0 74.7 74.7
2019-06-24 -1045.3 1116.7 71.4 71.4
2019-08-16 135.49 0 135.49 135.49
2019-08-30 -1064.86 1190.53 125.67 125.67
2019-09-04 114.59 0 114.59 114.59
2019-09-10 -1081.5 1205.7 124.2 124.2
2019-10-04 112.79 0 112.79 112.79
2019-10-18 -1141.9 1244.41 102.51 102.51
2019-12-04 164.2 0 164.2 164.2
2019-12-09 -1174.66 1342.99 168.33 168.33
2020-02-10 302.57 0 302.57 302.57
2020-02-11 -1210.7 1510.06 299.36 299.36
2020-02-28 63.61 0 63.61 63.61
2020-04-08 -1139.49 1207 67.51 67.51
2020-06-25 291.73 0 291.73 291.73
2020-06-26 -1140.9 1362.54 221.64 221.64
2020-06-29 219.44 0 219.44 219.44
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $219.44
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: SMA_006_SlowMA_20_FastMA_15
BOUGHT QTY: 1 on 2019-01-14 00:00:00 at the price of 1053.34
SOLD QTY: -1 on 2019-02-28 00:00:00 at the price of 1119.0
BOUGHT QTY: 1 on 2019-03-06 00:00:00 at the price of 1171.76
SOLD QTY: -1 on 2019-04-12 00:00:00 at the price of 1215.62
BOUGHT QTY: 1 on 2019-04-18 00:00:00 at the price of 1245.0
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-06-26 00:00:00 at the price of 1091.0
SOLD QTY: -1 on 2019-08-21 00:00:00 at the price of 1195.82
BOUGHT QTY: 1 on 2019-09-03 00:00:00 at the price of 1181.85
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-09 00:00:00 at the price of 1207.08
SOLD QTY: -1 on 2019-10-08 00:00:00 at the price of 1198.77
BOUGHT QTY: 1 on 2019-10-24 00:00:00 at the price of 1259.11
SOLD QTY: -1 on 2020-02-14 00:00:00 at the price of 1514.53
BOUGHT QTY: 1 on 2020-02-19 00:00:00 at the price of 1527.2
SOLD QTY: -1 on 2020-03-03 00:00:00 at the price of 1397.68
BOUGHT QTY: 1 on 2020-04-09 00:00:00 at the price of 1218.18
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-14 1 1 1053.34 0 0
2019-02-28 -1 0 0 1119 65.66
2019-03-06 1 1 1171.76 0 0
2019-04-12 -1 0 0 1215.62 43.86
2019-04-18 1 1 1245 0 0
2019-05-10 -1 0 0 1168.84 -76.16
2019-06-26 1 1 1091 0 0
2019-08-21 -1 0 0 1195.82 104.82
2019-09-03 1 1 1181.85 0 0
2019-09-04 -1 0 0 1179.45 -2.4
2019-09-09 1 1 1207.08 0 0
2019-10-08 -1 0 0 1198.77 -8.31
2019-10-24 1 1 1259.11 0 0
2020-02-14 -1 0 0 1514.53 255.42
2020-02-19 1 1 1527.2 0 0
2020-03-03 -1 0 0 1397.68 -129.52
2020-04-09 1 1 1218.18 0 0
2020-06-29 -1 0 0 1360.34 142.16
cash_onhand position_value total_position accumu_return
date
2019-01-14 -1053.34 1051.51 -1.83 -1.83
2019-02-28 65.66 0 65.66 65.66
2019-03-06 -1106.1 1164.94 58.84 58.84
2019-04-12 109.52 0 109.52 109.52
2019-04-18 -1135.48 1241.47 105.99 105.99
2019-05-10 33.36 0 33.36 33.36
2019-06-26 -1057.64 1080.32 22.68 22.68
2019-08-21 138.18 0 138.18 138.18
2019-09-03 -1043.67 1169.55 125.88 125.88
2019-09-04 135.78 0 135.78 135.78
2019-09-09 -1071.3 1205.27 133.97 133.97
2019-10-08 127.47 0 127.47 127.47
2019-10-24 -1131.64 1259.11 127.47 127.47
2020-02-14 382.89 0 382.89 382.89
2020-02-19 -1144.31 1524.87 380.56 380.56
2020-03-03 253.37 0 253.37 253.37
2020-04-09 -964.81 1206.57 241.76 241.76
2020-06-29 395.53 0 395.53 395.53
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $395.53
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: SMA_007_SlowMA_25_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 1120.0
SOLD QTY: -1 on 2019-07-01 00:00:00 at the price of 1101.04
BOUGHT QTY: 1 on 2019-07-03 00:00:00 at the price of 1118.5
SOLD QTY: -1 on 2019-08-21 00:00:00 at the price of 1195.82
BOUGHT QTY: 1 on 2019-08-22 00:00:00 at the price of 1193.8
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-09-06 00:00:00 at the price of 1209.14
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-17 00:00:00 at the price of 1251.4
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-09 00:00:00 at the price of 1218.18
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-06 -1 0 0 1172 86
2019-06-24 1 1 1120 0 0
2019-07-01 -1 0 0 1101.04 -18.96
2019-07-03 1 1 1118.5 0 0
2019-08-21 -1 0 0 1195.82 77.32
2019-08-22 1 1 1193.8 0 0
2019-08-26 -1 0 0 1159.45 -34.35
2019-09-06 1 1 1209.14 0 0
2019-10-03 -1 0 0 1183.34 -25.8
2019-10-17 1 1 1251.4 0 0
2020-02-26 -1 0 0 1394.98 143.58
2020-04-09 1 1 1218.18 0 0
2020-06-29 -1 0 0 1360.34 142.16
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-06 86 0 86 86
2019-06-24 -1034 1116.7 82.7 82.7
2019-07-01 67.04 0 67.04 67.04
2019-07-03 -1051.46 1122.99 71.53 71.53
2019-08-21 144.36 0 144.36 144.36
2019-08-22 -1049.44 1191.52 142.08 142.08
2019-08-26 110.01 0 110.01 110.01
2019-09-06 -1099.13 1206.32 107.19 107.19
2019-10-03 84.21 0 84.21 84.21
2019-10-17 -1167.19 1252.8 85.61 85.61
2020-02-26 227.79 0 227.79 227.79
2020-04-09 -990.39 1206.57 216.18 216.18
2020-06-29 369.95 0 369.95 369.95
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $369.95
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: SMA_008_SlowMA_25_FastMA_10
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-08 00:00:00 at the price of 1177.29
BOUGHT QTY: 1 on 2019-06-26 00:00:00 at the price of 1091.0
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-09-10 00:00:00 at the price of 1196.09
SOLD QTY: -1 on 2019-10-08 00:00:00 at the price of 1198.77
BOUGHT QTY: 1 on 2019-10-21 00:00:00 at the price of 1248.7
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-13 00:00:00 at the price of 1201.5
SOLD QTY: -1 on 2020-06-30 00:00:00 at the price of 1396.88
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-08 -1 0 0 1177.29 102.35
2019-06-26 1 1 1091 0 0
2019-08-26 -1 0 0 1159.45 68.45
2019-09-10 1 1 1196.09 0 0
2019-10-08 -1 0 0 1198.77 2.68
2019-10-21 1 1 1248.7 0 0
2020-02-28 -1 0 0 1274.31 25.61
2020-04-13 1 1 1201.5 0 0
2020-06-30 -1 0 0 1396.88 195.38
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-08 102.35 0 102.35 102.35
2019-06-26 -988.65 1080.32 91.67 91.67
2019-08-26 170.8 0 170.8 170.8
2019-09-10 -1025.29 1205.7 180.41 180.41
2019-10-08 173.48 0 173.48 173.48
2019-10-21 -1075.22 1244.28 169.06 169.06
2020-02-28 199.09 0 199.09 199.09
2020-04-13 -1002.41 1210.41 208 208
2020-06-30 394.47 0 394.47 394.47
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $394.47
The current status of the model is: Waiting to enter since 2020-06-30 00:00:00
Processing portfolio for model: SMA_009_SlowMA_25_FastMA_15
BOUGHT QTY: 1 on 2019-01-15 00:00:00 at the price of 1058.01
SOLD QTY: -1 on 2019-04-15 00:00:00 at the price of 1224.09
BOUGHT QTY: 1 on 2019-04-17 00:00:00 at the price of 1237.0
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 1145.24
BOUGHT QTY: 1 on 2019-07-01 00:00:00 at the price of 1101.04
SOLD QTY: -1 on 2019-08-23 00:00:00 at the price of 1185.17
BOUGHT QTY: 1 on 2019-09-09 00:00:00 at the price of 1207.08
SOLD QTY: -1 on 2019-10-10 00:00:00 at the price of 1198.6
BOUGHT QTY: 1 on 2019-10-24 00:00:00 at the price of 1259.11
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-04-15 00:00:00 at the price of 1246.51
SOLD QTY: -1 on 2020-06-30 00:00:00 at the price of 1396.88
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-15 1 1 1058.01 0 0
2019-04-15 -1 0 0 1224.09 166.08
2019-04-17 1 1 1237 0 0
2019-05-13 -1 0 0 1145.24 -91.76
2019-07-01 1 1 1101.04 0 0
2019-08-23 -1 0 0 1185.17 84.13
2019-09-09 1 1 1207.08 0 0
2019-10-10 -1 0 0 1198.6 -8.48
2019-10-24 1 1 1259.11 0 0
2020-03-04 -1 0 0 1358.96 99.85
2020-04-15 1 1 1246.51 0 0
2020-06-30 -1 0 0 1396.88 150.37
cash_onhand position_value total_position accumu_return
date
2019-01-15 -1058.01 1086.51 28.5 28.5
2019-04-15 166.08 0 166.08 166.08
2019-04-17 -1070.92 1240.14 169.22 169.22
2019-05-13 74.32 0 74.32 74.32
2019-07-01 -1026.72 1100 73.28 73.28
2019-08-23 158.45 0 158.45 158.45
2019-09-09 -1048.63 1205.27 156.64 156.64
2019-10-10 149.97 0 149.97 149.97
2019-10-24 -1109.14 1259.11 149.97 149.97
2020-03-04 249.82 0 249.82 249.82
2020-04-15 -996.69 1257.3 260.61 260.61
2020-06-30 400.19 0 400.19 400.19
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $400.19
The current status of the model is: Waiting to enter since 2020-06-30 00:00:00
Processing portfolio for model: SMA_010_SlowMA_25_FastMA_20
BOUGHT QTY: 1 on 2019-01-18 00:00:00 at the price of 1108.59
SOLD QTY: -1 on 2019-03-07 00:00:00 at the price of 1160.5
BOUGHT QTY: 1 on 2019-03-11 00:00:00 at the price of 1152.0
SOLD QTY: -1 on 2019-04-22 00:00:00 at the price of 1236.67
BOUGHT QTY: 1 on 2019-04-25 00:00:00 at the price of 1270.3
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 1122.55
BOUGHT QTY: 1 on 2019-07-03 00:00:00 at the price of 1118.5
SOLD QTY: -1 on 2019-08-28 00:00:00 at the price of 1164.87
BOUGHT QTY: 1 on 2019-09-06 00:00:00 at the price of 1209.14
SOLD QTY: -1 on 2019-09-12 00:00:00 at the price of 1223.47
BOUGHT QTY: 1 on 2019-09-13 00:00:00 at the price of 1232.11
SOLD QTY: -1 on 2019-10-14 00:00:00 at the price of 1213.89
BOUGHT QTY: 1 on 2019-10-30 00:00:00 at the price of 1255.15
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-04-16 00:00:00 at the price of 1267.14
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-18 1 1 1108.59 0 0
2019-03-07 -1 0 0 1160.5 51.91
2019-03-11 1 1 1152 0 0
2019-04-22 -1 0 0 1236.67 84.67
2019-04-25 1 1 1270.3 0 0
2019-05-15 -1 0 0 1122.55 -147.75
2019-07-03 1 1 1118.5 0 0
2019-08-28 -1 0 0 1164.87 46.37
2019-09-06 1 1 1209.14 0 0
2019-09-12 -1 0 0 1223.47 14.33
2019-09-13 1 1 1232.11 0 0
2019-10-14 -1 0 0 1213.89 -18.22
2019-10-30 1 1 1255.15 0 0
2020-03-04 -1 0 0 1358.96 103.81
2020-04-16 1 1 1267.14 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-18 -1108.59 1107.3 -1.29 -1.29
2019-03-07 51.91 0 51.91 51.91
2019-03-11 -1100.09 1179.26 79.17 79.17
2019-04-22 136.58 0 136.58 136.58
2019-04-25 -1133.72 1267.34 133.62 133.62
2019-05-15 -11.17 0 -11.17 -11.17
2019-07-03 -1129.67 1122.99 -6.68 -6.68
2019-08-28 35.2 0 35.2 35.2
2019-09-06 -1173.94 1206.32 32.38 32.38
2019-09-12 49.53 0 49.53 49.53
2019-09-13 -1182.58 1240.03 57.45 57.45
2019-10-14 31.31 0 31.31 31.31
2019-10-30 -1223.84 1260.7 36.86 36.86
2020-03-04 135.12 0 135.12 135.12
2020-04-16 -1132.02 1257.43 125.41 125.41
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $286.03
The current status of the model is: Holding a position since 2020-04-16 00:00:00
Processing portfolio for model: SMA_011_SlowMA_30_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 1115.08
SOLD QTY: -1 on 2019-06-26 00:00:00 at the price of 1091.0
BOUGHT QTY: 1 on 2019-07-05 00:00:00 at the price of 1119.37
SOLD QTY: -1 on 2019-08-27 00:00:00 at the price of 1183.0
BOUGHT QTY: 1 on 2019-09-06 00:00:00 at the price of 1209.14
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-17 00:00:00 at the price of 1251.4
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-14 00:00:00 at the price of 1239.97
SOLD QTY: -1 on 2020-06-30 00:00:00 at the price of 1396.88
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-06 -1 0 0 1172 86
2019-06-25 1 1 1115.08 0 0
2019-06-26 -1 0 0 1091 -24.08
2019-07-05 1 1 1119.37 0 0
2019-08-27 -1 0 0 1183 63.63
2019-09-06 1 1 1209.14 0 0
2019-10-04 -1 0 0 1194.29 -14.85
2019-10-17 1 1 1251.4 0 0
2020-02-26 -1 0 0 1394.98 143.58
2020-04-14 1 1 1239.97 0 0
2020-06-30 -1 0 0 1396.88 156.91
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-06 86 0 86 86
2019-06-25 -1029.08 1087.58 58.5 58.5
2019-06-26 61.92 0 61.92 61.92
2019-07-05 -1057.45 1132.66 75.21 75.21
2019-08-27 125.55 0 125.55 125.55
2019-09-06 -1083.59 1206.32 122.73 122.73
2019-10-04 110.7 0 110.7 110.7
2019-10-17 -1140.7 1252.8 112.1 112.1
2020-02-26 254.28 0 254.28 254.28
2020-04-14 -985.69 1265.23 279.54 279.54
2020-06-30 411.19 0 411.19 411.19
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $411.19
The current status of the model is: Waiting to enter since 2020-06-30 00:00:00
Processing portfolio for model: SMA_012_SlowMA_30_FastMA_10
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-09 00:00:00 at the price of 1162.6
BOUGHT QTY: 1 on 2019-07-03 00:00:00 at the price of 1118.5
SOLD QTY: -1 on 2019-08-28 00:00:00 at the price of 1164.87
BOUGHT QTY: 1 on 2019-09-11 00:00:00 at the price of 1203.89
SOLD QTY: -1 on 2019-10-10 00:00:00 at the price of 1198.6
BOUGHT QTY: 1 on 2019-10-21 00:00:00 at the price of 1248.7
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-16 00:00:00 at the price of 1267.14
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-09 -1 0 0 1162.6 87.66
2019-07-03 1 1 1118.5 0 0
2019-08-28 -1 0 0 1164.87 46.37
2019-09-11 1 1 1203.89 0 0
2019-10-10 -1 0 0 1198.6 -5.29
2019-10-21 1 1 1248.7 0 0
2020-02-28 -1 0 0 1274.31 25.61
2020-04-16 1 1 1267.14 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-09 87.66 0 87.66 87.66
2019-07-03 -1030.84 1122.99 92.15 92.15
2019-08-28 134.03 0 134.03 134.03
2019-09-11 -1069.86 1220 150.14 150.14
2019-10-10 128.74 0 128.74 128.74
2019-10-21 -1119.96 1244.28 124.32 124.32
2020-02-28 154.35 0 154.35 154.35
2020-04-16 -1112.79 1257.43 144.64 144.64
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $305.26
The current status of the model is: Holding a position since 2020-04-16 00:00:00
Processing portfolio for model: SMA_013_SlowMA_30_FastMA_15
BOUGHT QTY: 1 on 2019-01-16 00:00:00 at the price of 1090.0
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-05 00:00:00 at the price of 1119.37
SOLD QTY: -1 on 2019-08-30 00:00:00 at the price of 1200.35
BOUGHT QTY: 1 on 2019-09-12 00:00:00 at the price of 1223.47
SOLD QTY: -1 on 2019-10-14 00:00:00 at the price of 1213.89
BOUGHT QTY: 1 on 2019-10-25 00:00:00 at the price of 1252.0
SOLD QTY: -1 on 2020-03-03 00:00:00 at the price of 1397.68
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-16 1 1 1090 0 0
2019-05-14 -1 0 0 1142.32 52.32
2019-07-05 1 1 1119.37 0 0
2019-08-30 -1 0 0 1200.35 80.98
2019-09-12 1 1 1223.47 0 0
2019-10-14 -1 0 0 1213.89 -9.58
2019-10-25 1 1 1252 0 0
2020-03-03 -1 0 0 1397.68 145.68
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-16 -1090 1089.51 -0.49 -0.49
2019-05-14 52.32 0 52.32 52.32
2019-07-05 -1067.05 1132.66 65.61 65.61
2019-08-30 133.3 0 133.3 133.3
2019-09-12 -1090.17 1234.97 144.8 144.8
2019-10-14 123.72 0 123.72 123.72
2019-10-25 -1128.28 1264.3 136.02 136.02
2020-03-03 269.4 0 269.4 269.4
2020-04-17 -1012.3 1279 266.7 266.7
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $405.75
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: SMA_014_SlowMA_30_FastMA_20
BOUGHT QTY: 1 on 2019-01-22 00:00:00 at the price of 1096.0
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 1122.55
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-08-30 00:00:00 at the price of 1200.35
BOUGHT QTY: 1 on 2019-09-13 00:00:00 at the price of 1232.11
SOLD QTY: -1 on 2019-10-17 00:00:00 at the price of 1251.4
BOUGHT QTY: 1 on 2019-10-30 00:00:00 at the price of 1255.15
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-21 00:00:00 at the price of 1242.71
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-22 1 1 1096 0 0
2019-05-15 -1 0 0 1122.55 26.55
2019-07-08 1 1 1125.87 0 0
2019-08-30 -1 0 0 1200.35 74.48
2019-09-13 1 1 1232.11 0 0
2019-10-17 -1 0 0 1251.4 19.29
2019-10-30 1 1 1255.15 0 0
2020-03-02 -1 0 0 1351.39 96.24
2020-04-21 1 1 1242.71 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-22 -1096 1078.63 -17.37 -17.37
2019-05-15 26.55 0 26.55 26.55
2019-07-08 -1099.32 1116.79 17.47 17.47
2019-08-30 101.03 0 101.03 101.03
2019-09-13 -1131.08 1240.03 108.95 108.95
2019-10-17 120.32 0 120.32 120.32
2019-10-30 -1134.83 1260.7 125.87 125.87
2020-03-02 216.56 0 216.56 216.56
2020-04-21 -1026.15 1212.16 186.01 186.01
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $391.90
The current status of the model is: Holding a position since 2020-04-21 00:00:00
Processing portfolio for model: SMA_015_SlowMA_35_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-08-29 00:00:00 at the price of 1186.42
BOUGHT QTY: 1 on 2019-09-03 00:00:00 at the price of 1181.85
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 1241.81
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-15 00:00:00 at the price of 1246.51
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-06 -1 0 0 1172 86
2019-07-08 1 1 1125.87 0 0
2019-08-29 -1 0 0 1186.42 60.55
2019-09-03 1 1 1181.85 0 0
2019-10-04 -1 0 0 1194.29 12.44
2019-10-16 1 1 1241.81 0 0
2020-02-27 -1 0 0 1359.14 117.33
2020-04-15 1 1 1246.51 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-06 86 0 86 86
2019-07-08 -1039.87 1116.79 76.92 76.92
2019-08-29 146.55 0 146.55 146.55
2019-09-03 -1035.3 1169.55 134.25 134.25
2019-10-04 158.99 0 158.99 158.99
2019-10-16 -1082.82 1243 160.18 160.18
2020-02-27 276.32 0 276.32 276.32
2020-04-15 -970.19 1257.3 287.11 287.11
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $447.86
The current status of the model is: Holding a position since 2020-04-15 00:00:00
Processing portfolio for model: SMA_016_SlowMA_35_FastMA_10
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-09 00:00:00 at the price of 1162.6
BOUGHT QTY: 1 on 2019-07-10 00:00:00 at the price of 1132.32
SOLD QTY: -1 on 2019-09-05 00:00:00 at the price of 1193.66
BOUGHT QTY: 1 on 2019-09-10 00:00:00 at the price of 1196.09
SOLD QTY: -1 on 2019-10-11 00:00:00 at the price of 1224.03
BOUGHT QTY: 1 on 2019-10-18 00:00:00 at the price of 1254.69
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-09 -1 0 0 1162.6 87.66
2019-07-10 1 1 1132.32 0 0
2019-09-05 -1 0 0 1193.66 61.34
2019-09-10 1 1 1196.09 0 0
2019-10-11 -1 0 0 1224.03 27.94
2019-10-18 1 1 1254.69 0 0
2020-02-28 -1 0 0 1274.31 19.62
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-09 87.66 0 87.66 87.66
2019-07-10 -1044.66 1140.91 96.25 96.25
2019-09-05 149 0 149 149
2019-09-10 -1047.09 1205.7 158.61 158.61
2019-10-11 176.94 0 176.94 176.94
2019-10-18 -1077.75 1244.41 166.66 166.66
2020-02-28 196.56 0 196.56 196.56
2020-04-17 -1085.14 1279 193.86 193.86
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $332.91
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: SMA_017_SlowMA_35_FastMA_15
BOUGHT QTY: 1 on 2019-01-17 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-09 00:00:00 at the price of 1110.32
SOLD QTY: -1 on 2019-09-05 00:00:00 at the price of 1193.66
BOUGHT QTY: 1 on 2019-09-06 00:00:00 at the price of 1209.14
SOLD QTY: -1 on 2019-09-11 00:00:00 at the price of 1203.89
BOUGHT QTY: 1 on 2019-09-12 00:00:00 at the price of 1223.47
SOLD QTY: -1 on 2019-10-17 00:00:00 at the price of 1251.4
BOUGHT QTY: 1 on 2019-10-24 00:00:00 at the price of 1259.11
SOLD QTY: -1 on 2020-03-03 00:00:00 at the price of 1397.68
BOUGHT QTY: 1 on 2020-04-21 00:00:00 at the price of 1242.71
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-17 1 1 1087.99 0 0
2019-05-14 -1 0 0 1142.32 54.33
2019-07-09 1 1 1110.32 0 0
2019-09-05 -1 0 0 1193.66 83.34
2019-09-06 1 1 1209.14 0 0
2019-09-11 -1 0 0 1203.89 -5.25
2019-09-12 1 1 1223.47 0 0
2019-10-17 -1 0 0 1251.4 27.93
2019-10-24 1 1 1259.11 0 0
2020-03-03 -1 0 0 1397.68 138.57
2020-04-21 1 1 1242.71 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-17 -1087.99 1099.12 11.13 11.13
2019-05-14 54.33 0 54.33 54.33
2019-07-09 -1055.99 1124.29 68.3 68.3
2019-09-05 137.67 0 137.67 137.67
2019-09-06 -1071.47 1206.32 134.85 134.85
2019-09-11 132.42 0 132.42 132.42
2019-09-12 -1091.05 1234.97 143.92 143.92
2019-10-17 160.35 0 160.35 160.35
2019-10-24 -1098.76 1259.11 160.35 160.35
2020-03-03 298.92 0 298.92 298.92
2020-04-21 -943.79 1212.16 268.37 268.37
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $474.26
The current status of the model is: Holding a position since 2020-04-21 00:00:00
Processing portfolio for model: SMA_018_SlowMA_35_FastMA_20
BOUGHT QTY: 1 on 2019-01-24 00:00:00 at the price of 1082.51
SOLD QTY: -1 on 2019-05-17 00:00:00 at the price of 1175.83
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2019-09-10 00:00:00 at the price of 1196.09
BOUGHT QTY: 1 on 2019-09-17 00:00:00 at the price of 1231.63
SOLD QTY: -1 on 2019-10-24 00:00:00 at the price of 1259.11
BOUGHT QTY: 1 on 2019-10-30 00:00:00 at the price of 1255.15
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-04-23 00:00:00 at the price of 1265.74
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-24 1 1 1082.51 0 0
2019-05-17 -1 0 0 1175.83 93.32
2019-07-11 1 1 1146.16 0 0
2019-09-10 -1 0 0 1196.09 49.93
2019-09-17 1 1 1231.63 0 0
2019-10-24 -1 0 0 1259.11 27.48
2019-10-30 1 1 1255.15 0 0
2020-03-04 -1 0 0 1358.96 103.81
2020-04-23 1 1 1265.74 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-24 -1082.51 1084 1.49 1.49
2019-05-17 93.32 0 93.32 93.32
2019-07-11 -1052.84 1144.08 91.24 91.24
2019-09-10 143.25 0 143.25 143.25
2019-09-17 -1088.38 1229.88 141.5 141.5
2019-10-24 170.73 0 170.73 170.73
2019-10-30 -1084.42 1260.7 176.28 176.28
2020-03-04 274.54 0 274.54 274.54
2020-04-23 -991.2 1271.17 279.97 279.97
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $426.85
The current status of the model is: Holding a position since 2020-04-23 00:00:00
Processing portfolio for model: SMA_019_SlowMA_40_FastMA_05
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-07-09 00:00:00 at the price of 1110.32
SOLD QTY: -1 on 2019-10-07 00:00:00 at the price of 1207.0
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-06 -1 0 0 1172 84.01
2019-07-09 1 1 1110.32 0 0
2019-10-07 -1 0 0 1207 96.68
2019-10-15 1 1 1221.5 0 0
2020-02-27 -1 0 0 1359.14 137.64
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-06 84.01 0 84.01 84.01
2019-07-09 -1026.31 1124.29 97.98 97.98
2019-10-07 180.69 0 180.69 180.69
2019-10-15 -1040.81 1242.24 201.43 201.43
2020-02-27 318.33 0 318.33 318.33
2020-04-17 -963.37 1279 315.63 315.63
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $454.68
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: SMA_020_SlowMA_40_FastMA_10
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-09 00:00:00 at the price of 1162.6
BOUGHT QTY: 1 on 2019-07-12 00:00:00 at the price of 1142.93
SOLD QTY: -1 on 2019-10-11 00:00:00 at the price of 1224.03
BOUGHT QTY: 1 on 2019-10-17 00:00:00 at the price of 1251.4
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-21 00:00:00 at the price of 1242.71
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-09 -1 0 0 1162.6 87.66
2019-07-12 1 1 1142.93 0 0
2019-10-11 -1 0 0 1224.03 81.1
2019-10-17 1 1 1251.4 0 0
2020-03-02 -1 0 0 1351.39 99.99
2020-04-21 1 1 1242.71 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-09 87.66 0 87.66 87.66
2019-07-12 -1055.27 1145.34 90.07 90.07
2019-10-11 168.76 0 168.76 168.76
2019-10-17 -1082.64 1252.8 170.16 170.16
2020-03-02 268.75 0 268.75 268.75
2020-04-21 -973.96 1212.16 238.2 238.2
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $444.09
The current status of the model is: Holding a position since 2020-04-21 00:00:00
Processing portfolio for model: SMA_021_SlowMA_40_FastMA_15
BOUGHT QTY: 1 on 2019-01-16 00:00:00 at the price of 1090.0
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-12 00:00:00 at the price of 1142.93
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-04-23 00:00:00 at the price of 1265.74
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-16 1 1 1090 0 0
2019-05-14 -1 0 0 1142.32 52.32
2019-07-12 1 1 1142.93 0 0
2020-03-04 -1 0 0 1358.96 216.03
2020-04-23 1 1 1265.74 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-16 -1090 1089.51 -0.49 -0.49
2019-05-14 52.32 0 52.32 52.32
2019-07-12 -1090.61 1145.34 54.73 54.73
2020-03-04 268.35 0 268.35 268.35
2020-04-23 -997.39 1271.17 273.78 273.78
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $420.66
The current status of the model is: Holding a position since 2020-04-23 00:00:00
Processing portfolio for model: SMA_022_SlowMA_40_FastMA_20
BOUGHT QTY: 1 on 2019-01-23 00:00:00 at the price of 1086.86
SOLD QTY: -1 on 2019-05-17 00:00:00 at the price of 1175.83
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-03-06 00:00:00 at the price of 1269.95
BOUGHT QTY: 1 on 2020-04-27 00:00:00 at the price of 1292.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-23 1 1 1086.86 0 0
2019-05-17 -1 0 0 1175.83 88.97
2019-07-15 1 1 1145.34 0 0
2020-03-06 -1 0 0 1269.95 124.61
2020-04-27 1 1 1292 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-23 -1086.86 1084.41 -2.45 -2.45
2019-05-17 88.97 0 88.97 88.97
2019-07-15 -1056.37 1150.51 94.14 94.14
2020-03-06 213.58 0 213.58 213.58
2020-04-27 -1078.42 1270.86 192.44 192.44
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $339.63
The current status of the model is: Holding a position since 2020-04-27 00:00:00
Processing portfolio for model: SMA_023_SlowMA_45_FastMA_05
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-07-10 00:00:00 at the price of 1132.32
SOLD QTY: -1 on 2019-10-08 00:00:00 at the price of 1198.77
BOUGHT QTY: 1 on 2019-10-11 00:00:00 at the price of 1224.03
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-20 00:00:00 at the price of 1269.89
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-06 -1 0 0 1172 84.01
2019-07-10 1 1 1132.32 0 0
2019-10-08 -1 0 0 1198.77 66.45
2019-10-11 1 1 1224.03 0 0
2020-02-28 -1 0 0 1274.31 50.28
2020-04-20 1 1 1269.89 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-06 84.01 0 84.01 84.01
2019-07-10 -1048.31 1140.91 92.6 92.6
2019-10-08 150.46 0 150.46 150.46
2019-10-11 -1073.57 1215.71 142.14 142.14
2020-02-28 200.74 0 200.74 200.74
2020-04-20 -1069.15 1261.15 192 192
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $348.90
The current status of the model is: Holding a position since 2020-04-20 00:00:00
Processing portfolio for model: SMA_024_SlowMA_45_FastMA_10
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-07-12 00:00:00 at the price of 1142.93
SOLD QTY: -1 on 2019-10-15 00:00:00 at the price of 1221.5
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 1241.81
SOLD QTY: -1 on 2020-03-03 00:00:00 at the price of 1397.68
BOUGHT QTY: 1 on 2020-04-23 00:00:00 at the price of 1265.74
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-10 -1 0 0 1168.84 93.9
2019-07-12 1 1 1142.93 0 0
2019-10-15 -1 0 0 1221.5 78.57
2019-10-16 1 1 1241.81 0 0
2020-03-03 -1 0 0 1397.68 155.87
2020-04-23 1 1 1265.74 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-10 93.9 0 93.9 93.9
2019-07-12 -1049.03 1145.34 96.31 96.31
2019-10-15 172.47 0 172.47 172.47
2019-10-16 -1069.34 1243 173.66 173.66
2020-03-03 328.34 0 328.34 328.34
2020-04-23 -937.4 1271.17 333.77 333.77
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $480.65
The current status of the model is: Holding a position since 2020-04-23 00:00:00
Processing portfolio for model: SMA_025_SlowMA_45_FastMA_15
BOUGHT QTY: 1 on 2019-01-17 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 1122.55
BOUGHT QTY: 1 on 2019-07-16 00:00:00 at the price of 1146.73
SOLD QTY: -1 on 2020-03-05 00:00:00 at the price of 1345.55
BOUGHT QTY: 1 on 2020-04-27 00:00:00 at the price of 1292.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-17 1 1 1087.99 0 0
2019-05-15 -1 0 0 1122.55 34.56
2019-07-16 1 1 1146.73 0 0
2020-03-05 -1 0 0 1345.55 198.82
2020-04-27 1 1 1292 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-17 -1087.99 1099.12 11.13 11.13
2019-05-15 34.56 0 34.56 34.56
2019-07-16 -1112.17 1153.46 41.29 41.29
2020-03-05 233.38 0 233.38 233.38
2020-04-27 -1058.62 1270.86 212.24 212.24
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $359.43
The current status of the model is: Holding a position since 2020-04-27 00:00:00
Processing portfolio for model: SMA_026_SlowMA_45_FastMA_20
BOUGHT QTY: 1 on 2019-01-23 00:00:00 at the price of 1086.86
SOLD QTY: -1 on 2019-05-17 00:00:00 at the price of 1175.83
BOUGHT QTY: 1 on 2019-07-17 00:00:00 at the price of 1150.92
SOLD QTY: -1 on 2020-03-09 00:00:00 at the price of 1204.96
BOUGHT QTY: 1 on 2020-04-29 00:00:00 at the price of 1345.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-23 1 1 1086.86 0 0
2019-05-17 -1 0 0 1175.83 88.97
2019-07-17 1 1 1150.92 0 0
2020-03-09 -1 0 0 1204.96 54.04
2020-04-29 1 1 1345 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-23 -1086.86 1084.41 -2.45 -2.45
2019-05-17 88.97 0 88.97 88.97
2019-07-17 -1061.95 1146.74 84.79 84.79
2020-03-09 143.01 0 143.01 143.01
2020-04-29 -1201.99 1342.18 140.19 140.19
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $216.06
The current status of the model is: Holding a position since 2020-04-29 00:00:00
Processing portfolio for model: SMA_027_SlowMA_50_FastMA_05
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-07 00:00:00 at the price of 1185.81
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2019-10-07 00:00:00 at the price of 1207.0
BOUGHT QTY: 1 on 2019-10-11 00:00:00 at the price of 1224.03
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-27 00:00:00 at the price of 1292.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-07 -1 0 0 1185.81 97.82
2019-07-11 1 1 1146.16 0 0
2019-10-07 -1 0 0 1207 60.84
2019-10-11 1 1 1224.03 0 0
2020-02-28 -1 0 0 1274.31 50.28
2020-04-27 1 1 1292 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-07 97.82 0 97.82 97.82
2019-07-11 -1048.34 1144.08 95.74 95.74
2019-10-07 158.66 0 158.66 158.66
2019-10-11 -1065.37 1215.71 150.34 150.34
2020-02-28 208.94 0 208.94 208.94
2020-04-27 -1083.06 1270.86 187.8 187.8
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $334.99
The current status of the model is: Holding a position since 2020-04-27 00:00:00
Processing portfolio for model: SMA_028_SlowMA_50_FastMA_10
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-03-03 00:00:00 at the price of 1397.68
BOUGHT QTY: 1 on 2020-04-27 00:00:00 at the price of 1292.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-10 -1 0 0 1168.84 93.9
2019-07-15 1 1 1145.34 0 0
2020-03-03 -1 0 0 1397.68 252.34
2020-04-27 1 1 1292 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-10 93.9 0 93.9 93.9
2019-07-15 -1051.44 1150.51 99.07 99.07
2020-03-03 346.24 0 346.24 346.24
2020-04-27 -945.76 1270.86 325.1 325.1
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $472.29
The current status of the model is: Holding a position since 2020-04-27 00:00:00
Processing portfolio for model: SMA_029_SlowMA_50_FastMA_15
BOUGHT QTY: 1 on 2019-01-17 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 1122.55
BOUGHT QTY: 1 on 2019-07-18 00:00:00 at the price of 1142.0
SOLD QTY: -1 on 2020-03-06 00:00:00 at the price of 1269.95
BOUGHT QTY: 1 on 2020-04-29 00:00:00 at the price of 1345.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-17 1 1 1087.99 0 0
2019-05-15 -1 0 0 1122.55 34.56
2019-07-18 1 1 1142 0 0
2020-03-06 -1 0 0 1269.95 127.95
2020-04-29 1 1 1345 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-17 -1087.99 1099.12 11.13 11.13
2019-05-15 34.56 0 34.56 34.56
2019-07-18 -1107.44 1147.24 39.8 39.8
2020-03-06 162.51 0 162.51 162.51
2020-04-29 -1182.49 1342.18 159.69 159.69
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $235.56
The current status of the model is: Holding a position since 2020-04-29 00:00:00
Processing portfolio for model: SMA_030_SlowMA_50_FastMA_20
BOUGHT QTY: 1 on 2019-01-24 00:00:00 at the price of 1082.51
SOLD QTY: -1 on 2019-05-20 00:00:00 at the price of 1153.0
BOUGHT QTY: 1 on 2019-07-19 00:00:00 at the price of 1149.32
SOLD QTY: -1 on 2020-03-10 00:00:00 at the price of 1254.39
BOUGHT QTY: 1 on 2020-05-01 00:00:00 at the price of 1324.09
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-24 1 1 1082.51 0 0
2019-05-20 -1 0 0 1153 70.49
2019-07-19 1 1 1149.32 0 0
2020-03-10 -1 0 0 1254.39 105.07
2020-05-01 1 1 1324.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-24 -1082.51 1084 1.49 1.49
2019-05-20 70.49 0 70.49 70.49
2019-07-19 -1078.83 1131.55 52.72 52.72
2020-03-10 175.56 0 175.56 175.56
2020-05-01 -1148.53 1317.32 168.79 168.79
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $269.52
The current status of the model is: Holding a position since 2020-05-01 00:00:00
In [20]:
# Display the model performance summary
performance_summary.sort_values(by=['return_value'], inplace=True, ascending=False)
print(performance_summary)
model_name return_value return_percent 23 SMA_024_SlowMA_45_FastMA_10 480.65 None 16 SMA_017_SlowMA_35_FastMA_15 474.26 None 27 SMA_028_SlowMA_50_FastMA_10 472.29 None 18 SMA_019_SlowMA_40_FastMA_05 454.68 None 14 SMA_015_SlowMA_35_FastMA_05 447.86 None 19 SMA_020_SlowMA_40_FastMA_10 444.09 None 17 SMA_018_SlowMA_35_FastMA_20 426.85 None 20 SMA_021_SlowMA_40_FastMA_15 420.66 None 10 SMA_011_SlowMA_30_FastMA_05 411.19 None 2 SMA_003_SlowMA_15_FastMA_10 410.18 None 12 SMA_013_SlowMA_30_FastMA_15 405.75 None 8 SMA_009_SlowMA_25_FastMA_15 400.19 None 5 SMA_006_SlowMA_20_FastMA_15 395.53 None 7 SMA_008_SlowMA_25_FastMA_10 394.47 None 13 SMA_014_SlowMA_30_FastMA_20 391.90 None 1 SMA_002_SlowMA_15_FastMA_05 375.25 None 6 SMA_007_SlowMA_25_FastMA_05 369.95 None 24 SMA_025_SlowMA_45_FastMA_15 359.43 None 22 SMA_023_SlowMA_45_FastMA_05 348.90 None 21 SMA_022_SlowMA_40_FastMA_20 339.63 None 26 SMA_027_SlowMA_50_FastMA_05 334.99 None 15 SMA_016_SlowMA_35_FastMA_10 332.91 None 3 SMA_004_SlowMA_20_FastMA_05 309.71 None 11 SMA_012_SlowMA_30_FastMA_10 305.26 None 9 SMA_010_SlowMA_25_FastMA_20 286.03 None 29 SMA_030_SlowMA_50_FastMA_20 269.52 None 28 SMA_029_SlowMA_50_FastMA_15 235.56 None 4 SMA_005_SlowMA_20_FastMA_10 219.44 None 25 SMA_026_SlowMA_45_FastMA_20 216.06 None 0 SMA_001_SlowMA_10_FastMA_05 162.04 None
In [21]:
# Display the transactions from the top model
top_model = performance_summary.iloc[0]['model_name']
print('The transactions from the top model %s:' % (top_model))
print(portfolio_collection[top_model][portfolio_collection[top_model].trade_action != 0])
The transactions from the top model SMA_024_SlowMA_45_FastMA_10:
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-10 -1 0 0 1168.84 93.9
2019-07-12 1 1 1142.93 0 0
2019-10-15 -1 0 0 1221.5 78.57
2019-10-16 1 1 1241.81 0 0
2020-03-03 -1 0 0 1397.68 155.87
2020-04-23 1 1 1265.74 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-10 93.9 0 93.9 93.9
2019-07-12 -1049.03 1145.34 96.31 96.31
2019-10-15 172.47 0 172.47 172.47
2019-10-16 -1069.34 1243 173.66 173.66
2020-03-03 328.34 0 328.34 328.34
2020-04-23 -937.4 1271.17 333.77 333.77
In [22]:
# Display the entry and exit signals for the top model
print('The trading signal changes from the top model %s:' % (top_model))
print(model_collection[top_model][model_collection[top_model].signal_change != 0])
The trading signal changes from the top model SMA_024_SlowMA_45_FastMA_10:
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1059.355 1058.187111 1.167889
2019-05-09 1162.60 1167.97 1201.303 1207.458222 -6.155222
2019-07-11 1146.16 1144.08 1115.375 1114.955556 0.419444
2019-10-14 1213.89 1217.77 1202.804 1203.569111 -0.765111
2019-10-15 1221.50 1242.24 1206.428 1205.074444 1.353556
2020-03-02 1351.39 1386.32 1428.193 1438.586667 -10.393667
2020-04-22 1241.11 1258.41 1241.466 1234.256889 7.209111
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-05-09 0.0 -1.0 0.0
2019-07-11 1.0 1.0 0.0
2019-10-14 0.0 -1.0 0.0
2019-10-15 1.0 1.0 -1.0
2020-03-02 0.0 -1.0 0.0
2020-04-22 1.0 1.0 0.0
In [23]:
graph_data = model_collection[top_model].copy()
title_string = "Simple Moving Average Crossover Model for " + top_model
fig = plt.figure(figsize=(16,9))
ylabel = stock_symbol + ' price in $'
ax1 = fig.add_subplot(111, ylabel=ylabel, title=title_string)
graph_data['fast_ma'].plot(ax=ax1, color='b', lw=2.)
graph_data['slow_ma'].plot(ax=ax1, color='r', lw=2.)
graph_data['close_price'].plot(ax=ax1, color='g')
ax1.plot(graph_data.loc[graph_data.entry_exit == 1].index, graph_data.close_price[graph_data.entry_exit == 1], '^', markersize=7, color='k',label='buy')
ax1.plot(graph_data.loc[graph_data.entry_exit == -1].index, graph_data.close_price[graph_data.entry_exit == -1], 'v', markersize=7, color='k',label='sell')
plt.legend(loc='upper left')
plt.show()
Task 5. Evaluate Performance¶
In [24]:
best_model = ''
best_return = 0
for key in portfolio_collection:
if portfolio_collection[key]['accumu_return'][-1] > best_return:
best_model = key
best_return = portfolio_collection[best_model]['accumu_return'][-1]
print('The best model found is:', best_model)
print('The best profit/loss for the investing period is: $%.2f' % (best_return))
if initial_capital != 0:
print('The best return percentage for initial capital is: %.2f%%' % (best_return / initial_capital * 100))
The best model found is: SMA_024_SlowMA_45_FastMA_10 The best profit/loss for the investing period is: $480.65
In [25]:
worst_model = None
worst_return = 0
for key in portfolio_collection:
if portfolio_collection[key]['accumu_return'][-1] < worst_return:
worst_model = key
worst_return = portfolio_collection[worst_model]['accumu_return'][-1]
print('The worst model found is:', worst_model)
print('The worst profit/loss for the investing period is: $%.2f' % (worst_return))
if initial_capital != 0:
print('The worst return percentage for the initial capital is: %.2f%%' % (worst_return / initial_capital * 100))
The worst model found is: None The worst profit/loss for the investing period is: $0.00
In [26]:
# Calculate the stock's performance for a long-only model
model_template = model_template[model_start_date:model_end_date]
print('The performance of the long-only model from day one is: $%.2f' %(model_template.iloc[-1]['close_price'] - model_template.iloc[0]['open_price']))
The performance of the long-only model from day one is: $390.85
In [27]:
print ('Total time for the script:',(datetime.now() - startTimeScript))
Total time for the script: 0:00:45.040917